Equity duration is a measure of discount-rate sensitivity that is driven by both, stock-specific cash-flow timing and … stock-specific discount-rate levels. Established measures of equity duration using market-price information derive their …

This paper uses completely new data to study the variations in beta when it deviates from the constancy assumption … presumed by the market model. The concentration of the various researches on beta based on post 1926 data makes the 19th … century Brussels Stock Exchange (BSE) data a very good out-sample dataset to test beta variations. Various models proposed in …

The concept of bond duration was originally introduced by Macaulay (1938) and nowadays is well- established in the … equities. I derive three candidate models for estimating the duration of a stock. The models are vastly different in their …. Furthermore, I investigate the relationship between the equity duration factor and various common equity factors. Empirical …