In the last two decades, duration analysis has been largely applied to fixed - income securities . However, since rising and falling interest rates have been determined to be a major cause of stock price movements, equity duration has received a great deal of attention.
The duration of an equity is a measure of its interest rate risk. Duration is the sensitivity of the price of an equity with respect to the interest rate. Convexity is the sensitivity of duration with respect to the interest rate.
The analysis revealed that the fractional price change and market risk of equities can be explained by duration and convexity.
| Identifer | oai:union.ndltd.org:UTAHS/oai:digitalcommons.usu.edu:etd-4859 |
| Date | 01 May 1993 |
| Creators | Cheney, David L. |
| Publisher | DigitalCommons@USU |
| Source Sets | Utah State University |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | All Graduate Theses and Dissertations |
| Rights | Copyright for this work is held by the author. Transmission or reproduction of materials protected by copyright beyond that allowed by fair use requires the written permission of the copyright owners. Works not in the public domain cannot be commercially exploited without permission of the copyright owner. Responsibility for any use rests exclusively with the user. For more information contact Andrew Wesolek (andrew.wesolek@usu.edu). |
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