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- W2074975168 abstract "Abstract In this paper, we compute the implied equity duration (IED) for the non-financial companies listed in the Spanish stock market for the first time, to the best of our knowledge. This measure of risk adapts the traditional expression of the duration of a bond to the stock context. We also conduct a sector analysis and a size analysis using the Ibex indices composition. The results are then compared with those from the U.S. stock market and related to other proxies of equity risk. This analysis shows that there is a significant relation between the IED and the earnings to price ratio, the book to market ratio and the sales growth rate, but not to capitalisation, thus excluding the presence of a size effect. The results support the relation of the IED with the high minus low factor, thereby suggesting that the latter is subsumed in this measure." @default.
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- W2074975168 date "2014-01-01" @default.
- W2074975168 modified "2023-10-02" @default.
- W2074975168 title "The implied equity duration for the Spanish listed firms" @default.
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- W2074975168 doi "https://doi.org/10.1016/j.srfe.2013.09.003" @default.
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