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 …

Duration and convexity are important measures in fixed-income portfolio management and help develop methodologies in … interest rate risk management. This article presents empirical test of duration and convexity of Zero-Coupon Bonds( ZCBs )at … duration. The empirical results provide evidence that first duration is an increasing function of the interest rate and next …