This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …

future market returns. This result still holds after controlling for the size or liquidity of the firms or for current …

liquidity position. Finally, it investigates whether the idiosyncratic risk is priced in BRICS countries’ equity markets. The …

Engle and Russell (1998) introduce the autoregressive conditional duration (ACD) model to model the dynamics of … financial duration. It is recognized that the ACD model can be specified in ARMA form. We show that as long as the innovations … this fact, we develop a lognormal autoregressive conditional duration (LNACD) model. The LNACD model permits a humped …

The concept of bond duration was originally introduced by Macaulay (1938) and nowadays is well- established in the … equities. I derive three candidate models for estimating the duration of a stock. The models are vastly different in their …. Furthermore, I investigate the relationship between the equity duration factor and various common equity factors. Empirical …