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Equity Duration, Growth Options and Asset Pricing

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Author Info
Bradford Cornell (Anderson School of Management)
Abstract

Because much of the value of equity depends on the 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. By using 25 size and book-to-market portfolios, this paper shows that estimates of equity duration are critically dependent on the specifications of the regression model used to estimate equity duration. In particular, including all three Fama-French factors in the regression can have a dramatic impact on the estimate coefficients.

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File URL: http://repositories.cdlib.org/cgi/viewcontent.cgi?article=1096&context=anderson/fin
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Paper provided by Anderson Graduate School of Management, UCLA in its series University of California at Los Angeles, Anderson Graduate School of Management with number 1096.

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Date of creation: 01 Jul 1999
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Handle: RePEc:cdl:anderf:1096

Note: oai:cdlib1:anderson/fin-1096
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  1. Daniel, Kent & Titman, Sheridan, 1997. " Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, American Finance Association, vol. 52(1), pages 1-33, March. [Downloadable!] (restricted)
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  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June. [Downloadable!] (restricted)
  3. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February. [Downloadable!] (restricted)
  4. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March. [Downloadable!] (restricted)
  5. Josef Lakonishok & Robert W. Vishny & Andrei Shleifer, 1993. "Contrarian Investment, Extrapolation, and Risk," NBER Working Papers 4360, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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