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 …

This paper derives formulas for higher order duration measures, including D(1) (i.e. Macaulay duration), D(2) (i ….e., slope duration), D(3) (curvature duration), etc. We develop a general iterative method to obtain formulas for any higher … order measure D(m), for an arbitrary positive integer value for m. The higher order duration measures can be used to hedge …

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 …

determination of the duration of a bond and of a bond portfolio, when the interest rate is a fuzzy number. After that, we will be …