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Discussion of “Implied Equity Duration: A New Measure of Equity Risk”

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Abstract

Equity duration offers an interesting new approach to measuring stock risk. The cross-sectional relation between duration and returns is puzzling and invites further investigation.

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References

  • Bansal, R., R. Dittmar and C. Lundblad. (2002). “Consumption, Dividends, and the Cross-Section of Equity Returns.” Working paper, Duke University.

  • Brennan, M. and Y. Xia. (2003). “Risk and Valuation under an Intertemporal Asset Pricing Model.” Journal of Business, article will appear in January 2006 issue, vol. 79,no. 1.

  • Campbell, J. and T. Vuolteenaho. (2003). “Bad Beta, Good Beta.” Working paper, Harvard University.

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Authors and Affiliations

  1. UCLA’s Anderson School and NBER, 110 Westwood Plaza, Los Angeles, CA 90095-1481

    Pedro Santa-clara

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  1. Pedro Santa-clara
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Santa-clara, P. Discussion of “Implied Equity Duration: A New Measure of Equity Risk”. Review of Accounting Studies 9, 229–231 (2004). https://doi.org/10.1023/B:RAST.0000028187.59987.8f

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  • DOI: https://doi.org/10.1023/B:RAST.0000028187.59987.8f

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