Cash duration, risk, and implications for stock returns

Roi D. Taussig

Finance Research Letters, 2025, vol. 79, issue C

Abstract: This study analyzes a new measure for Cash Duration. The new measure is based on the firm's cash holdings. Higher cash duration implies higher sensitivity of the firm's value to the firm's required return, and therefore, implies higher risk. An analysis of 140,692 firm-year observations from the U.S. cross-section of stock returns reveals that firms with higher cash duration earn higher stock returns. The effect of the new measure is both statistically and economically significant. Moreover, the effect is sustainable for diverse in-sample and out-of-sample robustness tests. The new findings can benefit researchers and practitioners alike.

Keywords: Cash holdings; Duration; Stock return; Asset pricing; Cross-section returns (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 G14 G17 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612325000522
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:79:y:2025:i:c:s1544612325000522

DOI: 10.1016/j.frl.2025.106787

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().