2004, 2001, English, Article, Working paper edition: The Derivation of a New Model of Equity Duration Lewin, R. A.; Satchell, Stephen E.

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/559
Physical Description
  • 260323 bytes, application/​pdf
  • Working Paper
Published
  • 2004-06-16T16:04:50Z
  • 2001-05
Language
  • English

Edition details

Title
  • The Derivation of a New Model of Equity Duration
Author
  • Lewin, R. A.
  • Satchell, Stephen E.
Published
  • 2004-06-16T16:04:50Z
  • 2001-05
Physical Description
  • 260323 bytes, application/​pdf
  • Working Paper
Subjects
Notes
  • This paper sets out to address the issue of equity duration, one of several risk measures available for asset and liability management. Equity duration, as derived from the use of traditional dividend discount models, results in extremely long duration estimated for equities - often in excess of 50 years for growth stocks. Leibowitz, in his seminal paper (1986), identified an alternative framework for assessing equity duration empirically. This methodology yields equity duration measures more consistent with the experience of practitioners, implying that equities behave as if they are much shorter duration instruments. In our paper, based on an application to UK data, we develop the intuition behind the Leibowitz approach to generate equity duration as a by-product of asset pricing, Our analysis suggests that the equity premium puzzle may comprise an important element in reconciling the Leibowitz approach to equity duration, with the more traditional dividend discount model alternative.
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment