| Summary: | 碩士 === 義守大學 === 財務金融學系 === 92 === This research describes a simple model of equity duration that uses the dividend discount model and incorporates the sensitivity of growth to rates. We try to calculate all stocks’ equity durations. Based on our empirical model, equity duration of blue chip in Taiwan stock market is lower than other stock, in other words, blue chip stock is not sensitive to interest rates, and in low-discount rates environments. Our simple model would have shifted the equity portfolio toward blue chip stocks. Besides, equity duration of blue chip has shown a declining trend over the last 7 years, suggesting that blue chip stock has become less sensitive to interest rates.
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