We propose a duration-based explanation for the premia on major equity factors, including value, profitability, investment, low-risk, and payout factors. These factors invest in firms that earn most of their cash flows in the near future and could therefore be driven by a premium on near-future cash flows. We test this hypothesis using a novel data set of single-stock dividend futures, which are claims on dividends of individual firms. Consistent with our hypothesis, the expected Capital Asset Pricing Model alpha on individual cash flows decreases in maturity within a firm, and the alpha is not related to the above characteristics when controlling for maturity.

中文翻译：

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持续时间驱动的回报

我们对主要股权因素的溢价提出了基于持续时间的解释，包括价值、盈利能力、投资、低风险和支付因素。这些因素投资于在不久的将来赚取大部分现金流的公司，因此可能受到近期现金流溢价的驱动。我们使用一个新的单一股票股息期货数据集来检验这一假设，这些期货是对个别公司股息的索取权。与我们的假设一致，预期资本资产定价模型对单个现金流量的预期 alpha 在公司内部随着到期日的减少而降低，并且在控制到期日时 alpha 与上述特征无关。