RT Journal Article
T1 Performance of Alternative Estimation Procedures of the Implied Equity Duration in a Small Stock Market
A1 Fullana, Olga
A1 Toscano Pardo, David
AB This paper is focused on the measurement of interest rate risk of nonfinancial firms. Themeasurement is the initial step in the risk management, which, in the context of financial risks, it isexpected to lead to better levels of enterprises’ financial sustainability. Concretely, we checked theperformance of alternative estimation procedures of the implied equity duration as a measure of theexposure to interest rate risk of firms listed on a small stock market. Previous evidence in the USstock market shows that when the implied equity duration is computed using industry‐specificparameters instead of market parameters, significant differences arise in their absolute and relativevalues and even in their ranking. In this paper, we checked the robustness of these results when wemoved to a smaller stock market. To do so, we replicated previous analyses carried out in theSpanish stock market but using alternative estimation procedures. We conclude that significantdifferences arise in the implied equity duration estimations when we consider industry‐specificparameters instead of market parameters. This finding in a small stock market is in line withprevious evidence found for the US stock market.
PB MDPI
SN 2071-1050
YR 2020
FD 2020-03
LK http://hdl.handle.net/10272/17674
UL http://hdl.handle.net/10272/17674
LA eng
NO Fullana, O.,  Toscano Pardo, D. (2020). Performance of Alternative Estimation Procedures of the Implied Equity Duration in a Small Stock Market. Sustainability, 12(5), 1886. DOI: https://doi.org/10.3390/su12051886
DS Repositorio Institucional de la Universidad de Huelva
RD 1 jun 2026