Date of Award:
5-1993
Document Type:
Thesis
Degree Name:
Master of Science (MS)
Department:
Economics and Finance
Department name when degree awarded
Economics
Committee Chair(s)
Christopher Fawson
Committee
Christopher Fawson
Committee
Donald L. Snyder
Committee
Terrence F. Glover
Abstract
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.
Checksum
7210e3f9643a82791f66a68175fd7d5b
Recommended Citation
Cheney, David L., "Can Duration -- Interest Rate Risk -- and Convexity Explain the Fractional Price Change and Market Risk of Equities?" (1993). All Graduate Theses and Dissertations, Spring 1920 to Summer 2023. 3844.
https://digitalcommons.usu.edu/etd/3844
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