Hostname: page-component-7b7567c8c-7pwfn Total loading time: 0 Render date: 2026-11-15T15:26:30.952Z Has data issue: false hasContentIssue false
  • English
  • Français

Discussion; Duration and Security Risk

Published online by Cambridge University Press:  06 April 2009

Willard T. Carleton
Get accessRights & Permissions [Opens in a new window]

Extract

Lanstein and Sharpe (LS) attempt to explain residual covariances between stocks on the basis of duration considerations. The results, by admission are mixed. Rather than to focus on these per se, I would like to further the work by making some suggestions with respect to the formal model development and the empirical tests-on the basis that both could be made crisper and thereby increase the value of what already is a contribution.

Information

Type
III. Duration and Portfolio Strategy
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 4 , November 1978, pp. 669 - 670
Copyright
Copyright © School of Business Administration, University of Washington 1978

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Article purchase

Temporarily unavailable

References

REFERENCES

[1]Carleton, W. T., and Cooper, I. A.. “Estimation and Uses of the Term Structure of Interest Rates.” Journal of Finance (09 1976), pp. 1067–1083.CrossRefGoogle Scholar
[2]Cooper, I. A. “Asset Values, Interest Rate Changes, and Duration.” Journal of Financial and Quantitative Analysis (12 1977), pp. 701–723.CrossRefGoogle Scholar
[3]Malkiel, B. G.The Term Structure of Interest Rates. Princeton: Princeton University Press (1966).Google Scholar
[4]McCulloch, J. H. “Measuring the Term Structure of Interest Rates.” Journal of Business (01 1971), pp. 19–31.CrossRefGoogle Scholar
[5]Schaefer, S. M. “On Measuring the Term Structure of Interest Rates.” Paper presented at International Workshop on Recent Research in Capital Markets, Berlin (09 1973).Google Scholar
[6]Silvers, J. B. “An Alternative Analysis to the Yield Spread as a Measure of Risk.” Journal of Finance (09 1973), pp. 933–55.CrossRefGoogle Scholar