Stock duration
Posted on:1/27/2006
| The duration of an equity stocks is the percentage change in stock prices in response to a 1% change in the long-term return that stocks are priced to deliver. |
The duration is about 67 (February, 2004) (the precise figure depends on the exact return that you believe stocks are priced to deliver).
For the stock market as a whole, the modified duration is simply the price/dividend ratio, which for the S&P 500 is currently about 62 (February, 2004).
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