Implied Equity Duration: A Measure of Pandemic Shutdown Risk
研究发现隐含权益久期不仅能衡量股票对贴现率变化的敏感度，还能有效预测疫情停摆期间股票的表现，低久期股票受冲击更大，且价值股表现不佳与其低久期有关。
ABSTRACT Implied equity duration was originally developed to analyze the sensitivity of equity prices to discount rate changes. We demonstrate that implied equity duration is also useful for analyzing the sensitivity of equity prices to pandemic shutdowns. Pandemic shutdowns primarily impact short‐term cash flows, thus they have a greater impact on low‐duration equities. We show that implied equity duration has a strong positive relation to U.S. equity returns and analyst forecast revisions during the onset of the 2020 COVID‐19 shutdown. Our analysis also demonstrates that the underperformance of “value” stocks during this period is a rational response to their lower durations.