Investigation of the impact of equity duration on total and systematic risk

The purpose of this research is to investigate the simultaneous relationship between equity duration and total risk and systematic risk and the possibility of predicting total risk and systematic risk using equity duration. To do this purpose, a sample was constructed containing 107 listed firms in Tehran stock market from 1386 to 1397. For investigating simultaneous relationship between duration and risk measures correlation test was used and panel regression was implemented to investigate the possibility of predicting total risk and systematic risk using equity duration. The results show that there is a negative significant relationship between equity duration and total risk and between equity duration and systematic risk. Moreover, equity duration is an appropriate measure to predict total risk and systematic risk. According to the significant relationship between equity duration and total risk and between equity duration and systematic risk, equity duration could be a measure of assessing equity risk. Also, the results show that as the magnitude of duration increases, the magnitude of total risk and systematic risk decreases for the following period this negative relationship may be due to the specific economic conditions of our country and its possible impact on the sales and risk of companies, which may be considered in further studies.