The Journal of Portfolio Management · 2000 · 39 citations · 8 references
BusinessEconomicsFinanceAsset PricingFinancial EconomicsPortfolio ManagementDuration AnalysisEquity ValuationGrowth EquityDuration Regression AnalysisGrowth OptionsProject Duration EstimationProject Duration PredictionRegression Model Selection
Because much of the value of equity depends on option characteristics of investment projects, it is not feasible to calculate equity duration directly. As a result, recent literature has focused on estimating equity duration empirically. Using twenty–five size and book–to–market portfolios, the author shows the estimates of equity duration are critically dependent on the specification of the regression model used to estimate equity duration.
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Common risk factors in the returns on stocks and bonds
Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1993 · 27.7K citations
The Cross-Section of Expected Stock Returns
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A Total Differential Approach to Equity Duration
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