, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown … duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade …

measure of equity duration proposed by \citet*[][]{dechow2004}. 3. We show that the “short-duration” factor improves the … performance of factor models. 4. We show that short-duration premium remains positive throughout the sample period (2011 …–2020), and duration strategy is profitable even after controlling for size and value factor. 5. Our results confirm the downward …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

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 …

). Therefore, investors, in particular those with long-term bond-like liabilities, should take greater duration risk when the …

generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent … distribution conditional on the duration process is not Gaussian, even though the duration process itself can marginally serve as a … directing process; (ii) the return process is highly leveraged; (iii) longer trade duration tends to be associated with higher …

affect their saving behavior and the optimal duration of stay abroad. The model predicts an inverse U-shaped relationship … between migration duration and the expected rate of return on repatriated savings. A higher rate provides an incentive to go …

Using duration analysis and CAPM, this paper seeks to estimate the length of time performance measures affect the … a fund’s failure. The results also show the existence of positive duration implying older funds face a higher …