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We estimate the implied equity duration using industry‐specific parameters. We provide evidence that this procedure improves the ability of implied equity duration to capture stock price risk. We show that it is due to a better capture of both the market risk and residual risk of the market asset pricing model. As expected, the higher the difference in the estimates of duration, the higher the improvement in measuring price risk, but the results also show that the highest improvements are obtained when the usual implied equity duration estimation based on market parameters performs poorly as a price risk measure.

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