In a seminal paper, Dechow, Sloan and Soliman (2004) develop a price-implied measure for equity duration and for its estimation they employ parsimonious but relatively crude procedures. Hence, these authors claim that improvements in procedures should lead to more accurate and useful estimates...

Since the seminal paper of Vasicek and Fong (1982), the term structures of interest rates have been fitted assuming that yields are cross-sectionally homoskedastic. We show that this assumption does not hold when there are differences in liquidity, even for bonds of the same issuer. Lower...