Date of Award:
Master of Science (MS)
Economics and Finance
Donald L. Snyder
Terrence F. Glover
James P. Shaver
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.
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. 3844.
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