Equity duration, growth options, and asset pricing: The context is important in evaluation of equity duration

Journal of Portfolio Management

Volumn 26, Issue 3, 2000, Pages 105-111

  Cornell, Bradford ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0034147034     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2000.319725     Document Type: Article

References (10)

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3. Fama, Eugene F., and Kenneth R. French. "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics, 33 (1993), pp. 3-56.
4. _. "The Cross-Section of Expected Stock Returns." Journal of Finance, 46 (1992), pp. 427-466.
5. _. "Multifactor Explanation of Asset Pricing Anomalies." Journal of Finance, 51 (1996), pp. 55-84.
6. Hevert, Kathleen T., Robyn M. McLaughlin, and Robert A. Taggart. "Growth Options and Equity Duration." Journal of Portfolio Management, 25, 1 (Fall 1998), pp. 43-50.
7. James, Christopher, Sergio Koreisha, and Megan Partch. "A Varma Analysis of the Causal Relations Among Stock Returns, Real Output and Nominal Interest Rates." Journal of Finance, 40 (1985), pp. 1375-1384.
8. Lee, Bong-Soo. "Causal Relations Among Stock Returns, Interest Rates, Real Activity and Inflation."Journal of Finance, 44 (1992), pp. 1591-1604.
9. Leibowitz, Martin L., and Stanley Kogelman. "Resolving the Equity Duration Paradox." Financial Analysts Journal, 49 (1993), pp. 51-64.
10. Leibowitz, Martin L., Eric Sorensen, Robert D. Arnott, and H. Nicholas Hanson. "A Total Differential Approach to Equity Duration." Financial Analysts Journal, 45 (1989), pp. 30-38.