because expected future cash-flow growth varies with the discount rates. The traditional Macaulay duration captures the effect … from the discount-rate channel. I propose a novel duration measure, the effective equity duration, to capture the effects … is hump-shaped because expected future cash flow growth increases with the discount rates. The effective equity duration …

polynomial duration model of Chambers and Carleton (Chambers, D.R., Carleton, W.T., 1988. A generalized approach to duration. In …

functional form of the hazard of changing a price, the effect of firm and market characteristics on the duration of prices, and … determinants of the duration of retail interest rates are the cumulated change in the money market interest rates and the policy …

The duration of a bond approximately measures the interest rate risk caused by parallel shifts of the yield curve. This … paper uses a generalization of the duration suggested by Diebold et al. (2006a), that takes the variations of the level, the … into account the approach considered here is very intuitive as it is similar to the classical duration. A case study …

typically borrow short to lend long. This is known as duration mismatch. To mitigate the risks, banks are required to hold … outliers given static risks and not enough on the possibility that risks themselves are perceived to surge. For long duration … defaults.Standard capital buffers cannot reliably cover these markdowns. Readjusting buffer requirements to duration and …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …

Practical techniques for approximating yield given the price and price given the yield are described. Duration and …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … growth into the future and predict high returns for high-duration stocks following high-sentiment periods, contrary to ex …