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 …

actively move into higher yielding, longer duration and lower rated securities as yields fall and spreads compress, and vice …

behavior is strongly procyclical: they actively move into higher yielding, longer duration and lower rated securities in …