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dc.contributor.authorLewin, R. A.en_GB
dc.contributor.authorSatchell, Stephen E.en_GB
dc.date.accessioned2004-06-16T16:04:50Z
dc.date.available2004-06-16T16:04:50Z
dc.date.created2001-05en_GB
dc.date.issued2004-06-16T16:04:50Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/283
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/283
dc.description.abstractThis 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.en_GB
dc.format.extent260323 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectDividends
dc.subjectDuration
dc.subjectEquity valuation
dc.subjectPensions
dc.subject.classificationClassification-JEL: E31, G12, G33en_GB
dc.subject.otherAsset pricingen_GB
dc.titleThe Derivation of a New Model of Equity Durationen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5202


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