Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities?
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...
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DigitalCommons@USU
1993
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ndltd-UTAHS-oai-digitalcommons.usu.edu-etd-48592019-10-13T06:14:46Z Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities? Cheney, David L. 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. 1993-05-01T07:00:00Z text application/pdf https://digitalcommons.usu.edu/etd/3844 https://digitalcommons.usu.edu/cgi/viewcontent.cgi?article=4859&context=etd 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). All Graduate Theses and Dissertations DigitalCommons@USU Interest Rate Risk Convexity Explain Fractional Price Change Market Risk Equities Economics |
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Others
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Interest Rate Risk Convexity Explain Fractional Price Change Market Risk Equities Economics |
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Interest Rate Risk Convexity Explain Fractional Price Change Market Risk Equities Economics Cheney, David L. Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities? |
| description |
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. |
| author |
Cheney, David L. |
| author_facet |
Cheney, David L. |
| author_sort |
Cheney, David L. |
| title |
Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities? |
| title_short |
Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities? |
| title_full |
Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities? |
| title_fullStr |
Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities? |
| title_full_unstemmed |
Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities? |
| title_sort |
can duration -- interest rate risk -- and convexity explain the fractional price change and market risk of equities? |
| publisher |
DigitalCommons@USU |
| publishDate |
1993 |
| url |
https://digitalcommons.usu.edu/etd/3844 https://digitalcommons.usu.edu/cgi/viewcontent.cgi?article=4859&context=etd |
| work_keys_str_mv |
AT cheneydavidl candurationinterestrateriskandconvexityexplainthefractionalpricechangeandmarketriskofequities |
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1719268078227816448 |