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| Author: | Leibowitz, M. L. |
| Title: | A total differential approach to equity duration. |
| Journal: | Financial Analysts' Journal
1989 : SEP/OCT, VOL. 45:5, p. 30-37 |
| Index terms: | EQUITY CAPITAL STOCK MARKETS INVESTMENT ANALYSIS PORTFOLIO MANAGEMENT |
| Language: | eng |
| Abstract: | Study of confusion over evaluating equity "duration", related to dividend discount model /DDM/ duration, equity discount rate and equity earnings growth rate. Duration of an equity portfolio. DDM duration calculations. Early development of duration. Stock duration and the DDM formulation. Misuse of the DDM duration. Total interest rate sensitivity. A model. Real rate versus inflation. Dynamics of the risk premium. Four Figures illustrate the analysis. The Appendix outlines duration based on continuous compounding and cash flows, and duration using interactive effects. |
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