Journal articles: 'Equitu duration'

1

Sorensen, Eric H. "Equity Duration." ICFA Continuing Education Series 1988, no. 2 (January 1988): 60–70. http://dx.doi.org/10.2469/cp.v1988.n2.11.

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2

Johnson, Lewis D. "Equity Duration: Another Look." Financial Analysts Journal 45, no. 2 (March 1989): 73–75. http://dx.doi.org/10.2469/faj.v45.n2.73.

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3

Moon, Sungjeh, and Joonhyuk Song. "Cross-Section of Expected Returns Based on Equity Duration." Journal of Derivatives and Quantitative Studies 27, no. 3 (August 31, 2019): 297–327. http://dx.doi.org/10.1108/jdqs-03-2019-b0003.

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We analyze the cross-sectional expected return of KOSPI stocks using equity duration. From 1991 to 2018, we calculate equity durations for the KOSPI listed stocks (including de-listed stocks) and find that the shorter the equity duration, the higher the risk premium. Using the 4-factor model with equity duration added to the benchmark 3-factor model, the explanatory power of the 4-factor model is superior to that of the existing benchmark model in accounting for risk premiums. This is an unusual finding that is not readily explainable by the traditional CAPM or the Fama-French 3-factor model. This can be interpreted that the equity duration is a separate and significant risk factor dissociated from the HML of the 3-factor model.

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4

Hevert, Kathleen T., Robyn M. McLaughlin, and Robert A. Taggart. "Growth Options and Equity Duration." Journal of Portfolio Management 25, no. 1 (October 31, 1998): 43–50. http://dx.doi.org/10.3905/jpm.1998.409659.

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5

Leibowitz, Martin L., and Stanley Kogelman. "Resolving the Equity Duration Paradox." Financial Analysts Journal 49, no. 1 (January 1993): 51–64. http://dx.doi.org/10.2469/faj.v49.n1.51.

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6

Azar, Samih Antoine. "A duration-based equity premium." Applied Financial Economics Letters 3, no. 6 (November 2007): 409–14. http://dx.doi.org/10.1080/17446540600806229.

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7

Dechow, Patricia M., Richard G. Sloan, and Mark T. Soliman. "Implied Equity Duration: A New Measure of Equity Risk." Review of Accounting Studies 9, no. 2/3 (June 2004): 197–228. http://dx.doi.org/10.1023/b:rast.0000028186.44328.3f.

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8

Rehan, Raja, Imran Umer Chhapra, and Ali Zain. "Assets Pricing and Equity Duration Paradox." Humanities and Social Sciences Letters 7, no. 3 (2019): 167–80. http://dx.doi.org/10.18488/journal.73.2019.73.167.180.

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9

Broughton, John B., and Bento J. Lobo. "Equity Duration and Portfolio Risk Management." Journal of Investing 26, no. 3 (August 31, 2017): 29–40. http://dx.doi.org/10.3905/joi.2017.26.3.029.

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10

Santa-clara, Pedro. "Discussion of “Implied Equity Duration: A New Measure of Equity Risk”." Review of Accounting Studies 9, no. 2/3 (June 2004): 229–31. http://dx.doi.org/10.1023/b:rast.0000028187.59987.8f.

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11

Cornell, Bradford. "Equity Duration, Growth Options, and Asset Pricing." Journal of Portfolio Management 26, no. 3 (April 30, 2000): 105–11. http://dx.doi.org/10.3905/jpm.2000.319725.

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12

Leibowitz, Martin L., Eric H. Sorensen, Robert D. Arnott, and H. Nicholas Hanson. "A Total Differential Approach to Equity Duration." Financial Analysts Journal 45, no. 5 (September 1989): 30–37. http://dx.doi.org/10.2469/faj.v45.n5.30.

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13

Sweeney, Mary Elizabeth. "Interest rate hedging and equity duration: Australian evidence." International Review of Financial Analysis 7, no. 3 (January 1998): 277–98. http://dx.doi.org/10.1016/s1057-5219(99)80018-0.

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14

Hamelink, Foort, Bryan MacGregor, Nanda Nanthakumaran, and Allison Orr. "A comparison of UK equity and property duration." Journal of Property Research 19, no. 1 (January 2002): 61–80. http://dx.doi.org/10.1080/09599910110079631.

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15

Hatemi-J, Abdulnasser, and Eduardo D. Roca. "Estimating banks’ equity duration: a panel cointegration approach." Applied Financial Economics 18, no. 14 (August 2008): 1173–80. http://dx.doi.org/10.1080/09603100701551640.

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16

Mohrschladt, Hannes, and Sven Nolte. "A new risk factor based on equity duration." Journal of Banking & Finance 96 (November 2018): 126–35. http://dx.doi.org/10.1016/j.jbankfin.2018.09.002.

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17

Cejnek, Georg, and Otto Randl. "Risk and return of short-duration equity investments." Journal of Empirical Finance 36 (March 2016): 181–98. http://dx.doi.org/10.1016/j.jempfin.2016.01.017.

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18

Qian, Hong. "The timing of seasoned equity offerings: a duration analysis." Managerial Finance 40, no. 6 (June 3, 2014): 565–86. http://dx.doi.org/10.1108/mf-09-2013-0244.

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Purpose – Using a sample of 6,198 US firms that went public from 1975 to 2004, the purpose of this paper is to examine when these firms come back to the equity market and investigate the determinants of the timing decision. Design/methodology/approach – By properly modeling the time between two consecutive equity offerings using the duration analysis, the author tests different hypotheses in a unified framework and investigates their relative importance in explaining the timing decision of seasoned equity issuance. Findings – The paper documents that firms often return for a new round of equity issuance shortly after the preceding one. First seasoned equity offerings (SEOs) after the IPO are more likely to be conducted at a faster speed than subsequent (follow-on) SEOs. The duration analysis shows that first SEOs are more likely to ride the aggregate stock market wave and take advantage of the idiosyncratic mispricing of the stock than follow-on SEOs. On the contrary, both macroeconomic and firm-specific growth opportunities are more important for follow-on SEOs than for first SEOs. Originality/value – The paper employs a novel econometric method to depict a dynamic picture of SEO decisions. The results provide a possible explanation to reconcile the discrepancies in the findings of prior studies. Namely, those studies examining mostly first SEOs could bias toward the timing hypothesis, while those studies focussing on follow-on SEOs is more likely to find evidence that supports the need for growth.

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19

Bieszk-Stolorz, Beata, and Iwona Markowicz. "Influence of unemployment benefit on duration of registered unemployment spells." Equilibrium 10, no. 3 (September 30, 2015): 167. http://dx.doi.org/10.12775/equil.2015.031.

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The purpose of the article is to present the analysis of the influence of unemployment benefit on the duration of registered unemployment spells. The authors made a hypothesis that the very fact of receiving the benefit extends the job seeking time and determines the intensity of unemployment exit. The power of this influence varies depending on a subgroup the unemployed person belongs to. The study was conducted on the basis of data from the Poviat Labour Office in Sulecin. The data were collected as a part of the European Union project implementation. The analysis covered two periods of time – before and after Poland’s accession to the European Union and the subsequent changes in legal regulations concerning unemployment benefits. The authors observed separate cohorts of the unemployed registered in 2001 and 2005. The closing dates of the observations were: the end of 2003 and 2007, respectively. Also, the authors examined whether the EU projects implemented after 2004 had an effect on the length of the unemployment spells as well as on the intensity of the unemployment exit. The study confirmed the research hypotheses. The fact of claiming the unemployment benefit prolonged the unemployment spells in both periods of observation. The loss of the right to the benefit increased the probability of de-registration in each sub-group.

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20

Fullana, Olga, and David Toscano. "The implied equity duration for the Spanish listed firms." Spanish Review of Financial Economics 12, no. 1 (January 2014): 33–39. http://dx.doi.org/10.1016/j.srfe.2013.09.003.

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21

Aubert, Patrick, Cindy Duc, and Bruno Ducoudré. "French Retirement Reforms and Intragenerational Equity in Retirement Duration." De Economist 161, no. 3 (July 28, 2013): 277–305. http://dx.doi.org/10.1007/s10645-013-9212-6.

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22

DECHOW, PATRICIA M., RYAN D. ERHARD, RICHARD G. SLOAN, and AND MARK T. SOLIMAN. "Implied Equity Duration: A Measure of Pandemic Shutdown Risk." Journal of Accounting Research 59, no. 1 (February 15, 2021): 243–81. http://dx.doi.org/10.1111/1475-679x.12348.

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23

Hurley, William J., and Lewis D. Johnson. "A Note on the Measurement of Equity Duration and Convexity." Financial Analysts Journal 51, no. 3 (May 1995): 77–79. http://dx.doi.org/10.2469/faj.v51.n3.1908.

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24

Shaffer, Sherrill. "Equity duration and convexity when firms can fail or stagnate." Finance Research Letters 4, no. 4 (December 2007): 233–41. http://dx.doi.org/10.1016/j.frl.2007.07.001.

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25

Weber, Michael. "Cash flow duration and the term structure of equity returns." Journal of Financial Economics 128, no. 3 (June 2018): 486–503. http://dx.doi.org/10.1016/j.jfineco.2018.03.003.

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26

Konrad, Christopher M., Arthur F. Kramer, and Stephen E. Watson. "A Comparison of Sequential and Spatial Displays in a Complex Monitoring Task." Proceedings of the Human Factors and Ergonomics Society Annual Meeting 38, no. 19 (October 1994): 1331–35. http://dx.doi.org/10.1177/154193129403801918.

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A sequential or RAP COM display was compared to a more conventional spatial display as subjects monitored dynamically changing sets of numbers and responded to occasional target stimuli. In an effort to equate the stimulus-response compatibility of the two displays subjects responded to the targets with a chord keyboard. We examined the influence of display duration on the performance with the RAP COM and spatial formats by presenting the stimuli at three different durations, 400, 800 and 1200 msec. The influence of practice on performance with the RAP COM and spatial displays was also investigated. Targets were responded to more quickly in the RAP COM than in the spatial displays at each of the three presentation durations and across over 2000 trials of practice. Accuracy was influenced by the display presentation duration. Accuracy was higher for the RAP COM than the spatial display at the 800 msec stimulus presentation duration. Accuracy was statistically equivalent for the RAP COM and spatial displays at the 400 and 1200 msec display durations, although there was a trend for lower accuracy for the RAP COM display at the faster presentation duration. Interestingly, the lower accuracy for the RAP COM display format at the 400 msec presentation duration appears to be due to illusory conjunctions. Our results will be discussed in terms of the utility of sequential or RAP COM displays in complex, real-world settings.

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27

Ferris, R. A., and P. M. McCue. "Gestation Length, Duration of Labor and Foal Survival." Journal of Equine Veterinary Science 31, no. 5-6 (May 2011): 318. http://dx.doi.org/10.1016/j.jevs.2011.03.152.

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28

Cohen, Ruben D. "The relationship between the equity risk premium, duration and dividend yield." Wilmott 2002, no. 1 (December 2002): 84–97. http://dx.doi.org/10.1002/wilm.42820020122.

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29

Fukuta, Yuichi, and Akiko Yamane. "Value premium and implied equity duration in the Japanese stock market." Journal of International Financial Markets, Institutions and Money 39 (November 2015): 102–21. http://dx.doi.org/10.1016/j.intfin.2015.05.007.

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30

SCHRÖDER, DAVID, and FLORIAN ESTERER. "A New Measure of Equity and Cash Flow Duration: The Duration-Based Explanation of the Value Premium Revisited." Journal of Money, Credit and Banking 48, no. 5 (July 22, 2016): 857–900. http://dx.doi.org/10.1111/jmcb.12320.

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31

Bilinski, Pawel, and Abdulkadir Mohamed. "The Signaling Effect of Durations between Equity and Debt Issues." Financial Markets, Institutions & Instruments 24, no. 2-3 (April 6, 2015): 159–90. http://dx.doi.org/10.1111/fmii.12027.

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32

Fullana, Olga, Juan M. Nave, and David Toscano. "The implied equity duration when discounting and forecasting parameters are industry specific." Accounting & Finance 58 (December 6, 2016): 179–209. http://dx.doi.org/10.1111/acfi.12250.

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33

Palkar, Darshana D., and Niranjan Tripathy. "Seasoned equity offerings: stock market liquidity and duration of the completion cycle." Managerial Finance 37, no. 4 (March 15, 2011): 380–405. http://dx.doi.org/10.1108/03074351111115322.

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34

Fullana, Olga, and David Toscano. "Performance of Alternative Estimation Procedures of the Implied Equity Duration in a Small Stock Market." Sustainability 12, no. 5 (March 2, 2020): 1886. http://dx.doi.org/10.3390/su12051886.

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This paper is focused on the measurement of interest rate risk of nonfinancial firms. The measurement is the initial step in the risk management, which, in the context of financial risks, it is expected to lead to better levels of enterprises’ financial sustainability. Concretely, we checked the performance of alternative estimation procedures of the implied equity duration as a measure of the exposure to interest rate risk of firms listed on a small stock market. Previous evidence in the US stock market shows that when the implied equity duration is computed using industry-specific parameters instead of market parameters, significant differences arise in their absolute and relative values and even in their ranking. In this paper, we checked the robustness of these results when we moved to a smaller stock market. To do so, we replicated previous analyses carried out in the Spanish stock market but using alternative estimation procedures. We conclude that significant differences arise in the implied equity duration estimations when we consider industry-specific parameters instead of market parameters. This finding in a small stock market is in line with previous evidence found for the US stock market.

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35

BIDWELL, L. A., K. E. BROWN, A. CORDIER, D. R. MULLINEAUX, and H. M. CLAYTON. "Mepivacaine local anaesthetic duration in equine palmar digital nerve blocks." Equine Veterinary Journal 36, no. 8 (January 5, 2010): 723–26. http://dx.doi.org/10.2746/0425164044848154.

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36

Vu, Joseph D. V. "The Relation between the Magnitude of Growth Opportunities and the Duration of Equity." CFA Digest 31, no. 2 (May 2001): 20–21. http://dx.doi.org/10.2469/dig.v31.n2.859.

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37

Kadiyala, Padmaja. "THE RELATION BETWEEN THE MAGNITUDE OF GROWTH OPPORTUNITIES AND THE DURATION OF EQUITY." Journal of Financial Research 23, no. 3 (September 2000): 285–310. http://dx.doi.org/10.1111/j.1475-6803.2000.tb00744.x.

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38

Lindner, A., P. von Wittke, M. Schmald, J. Kusserow, and H. Sommer. "Maximal lactate concentrations in horses after exercise of different duration and intensity." Journal of Equine Veterinary Science 12, no. 1 (January 1992): 36–39. http://dx.doi.org/10.1016/s0737-0806(06)81384-5.

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39

HARKINS, J. D., G. D. MUNDY, S. STANLEY, W. E. WOODS, R. A. SAMS, D. R. RICHARDSON, and T. TOBIN. "Character and duration of pharmacological effects of intravenous isoxsuprine." Equine Veterinary Journal 28, no. 4 (July 1996): 320–26. http://dx.doi.org/10.1111/j.2042-3306.1996.tb03096.x.

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40

Fenger, Clara K., Thomas Tobin, Patrick J. Casey, Edward A. Roualdes, John L. Langemeier, Ruel Cowles, and Deborah M. Haines. "Enhanced Bovine Colostrum Supplementation Shortens the Duration of Respiratory Disease in Thoroughbred Yearlings." Journal of Equine Veterinary Science 42 (July 2016): 77–81. http://dx.doi.org/10.1016/j.jevs.2016.03.012.

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41

Jo, Gab-Je. "Did Foreign Investors Destabilize the Korean Equity Market during the Asian Crisis?" International Studies Review 7, no. 1 (October 8, 2006): 75–86. http://dx.doi.org/10.1163/2667078x-00701004.

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This paper investigates the behavior of foreign equity investment in the Korean market over the period of 1995 through 2001. The main questions examined in this paper are: Is foreign equity investment is relatively more reversible than domestic investment in the wake of financial crisis? And do foreign equity investors tend to increase the volatility of the market more than domestic investors? The empirical results indicate that equity investment activity by foreigners was more reversible than domestic investment for the duration of financial crisis period. Furthermore, I have found evidence that foreign equity investors tend to cause higher volatility in the market than domestic investors.

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42

Rossi, T. M., A. Moore, T. L. O’Sullivan, and A. L. Greer. "Risk factors for duration of equine rhinitis A virus respiratory disease." Equine Veterinary Journal 52, no. 3 (November 28, 2019): 369–73. http://dx.doi.org/10.1111/evj.13204.

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43

Mumford, J., D. Jessett, E. Rollinson, D. Hannant, and M. Draper. "Duration of protective efficacy of equine influenza immunostimulating complex/tetanus vaccines." Veterinary Record 134, no. 7 (February 12, 1994): 158–62. http://dx.doi.org/10.1136/vr.134.7.158.

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44

Lecollinet, Sylvie, Stéphane Pronost, Muriel Coulpier, Cécile Beck, Gaelle Gonzalez, Agnès Leblond, and Pierre Tritz. "Viral Equine Encephalitis, a Growing Threat to the Horse Population in Europe?" Viruses 12, no. 1 (December 24, 2019): 23. http://dx.doi.org/10.3390/v12010023.

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Neurological disorders represent an important sanitary and economic threat for the equine industry worldwide. Among nervous diseases, viral encephalitis is of growing concern, due to the emergence of arboviruses and to the high contagiosity of herpesvirus-infected horses. The nature, severity and duration of the clinical signs could be different depending on the etiological agent and its virulence. However, definite diagnosis generally requires the implementation of combinations of direct and/or indirect screening assays in specialized laboratories. The equine practitioner, involved in a mission of prevention and surveillance, plays an important role in the clinical diagnosis of viral encephalitis. The general management of the horse is essentially supportive, focused on controlling pain and inflammation within the central nervous system, preventing injuries and providing supportive care. Despite its high medical relevance and economic impact in the equine industry, vaccines are not always available and there is no specific antiviral therapy. In this review, the major virological, clinical and epidemiological features of the main neuropathogenic viruses inducing encephalitis in equids in Europe, including rabies virus (Rhabdoviridae), Equid herpesviruses (Herpesviridae), Borna disease virus (Bornaviridae) and West Nile virus (Flaviviridae), as well as exotic viruses, will be presented.

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45

Duan, J., C. W. Sealey, and Y. Yan. "Managing banks' duration gaps when interest rates are stochastic and equity has limited liability." International Review of Economics & Finance 8, no. 3 (September 1999): 253–65. http://dx.doi.org/10.1016/s1059-0560(99)00022-2.

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46

Vehling, Lorena, Deborah Chan, Jon McGavock, Allan B. Becker, Padmaja Subbarao, Theo J. Moraes, Piushkumar J. Mandhane, et al. "Exclusive breastfeeding in hospital predicts longer breastfeeding duration in Canada: Implications for health equity." Birth 45, no. 4 (March 2, 2018): 440–49. http://dx.doi.org/10.1111/birt.12345.

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47

Foss, M. A., and A. Lindner. "Effects of trailer transport duration on body weight and blood biochemical variables of horses." Pferdeheilkunde Equine Medicine 12, no. 4 (1996): 435–37. http://dx.doi.org/10.21836/pem19960413.

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48

Clayton, H. M., R. Sigafoos, and R. D. Curle. "Effect of three shoe types on the duration of breakover in sound trotting horses." Journal of Equine Veterinary Science 11, no. 2 (March 1991): 129–32. http://dx.doi.org/10.1016/s0737-0806(07)80147-x.

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49

Nagorsen, Dirk, Gerhard Zugmaier, Andreas Viardot, Mariele Goebeler, Richard Noppeney, Margit Schmidt, Petra Klappers, Patrick A. Baeuerle, Peter Kufer, and Ralf C. Bargou. "Confirmation of Safety, Efficacy and Response Duration in Non-Hodgkin Lymphoma Patients Treated with 60 μg/m2/d of BiTE® Antibody Blinatumomab." Blood 114, no. 22 (November 20, 2009): 2723. http://dx.doi.org/10.1182/blood.v114.22.2723.2723.

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Abstract Abstract 2723 Poster Board II-699 Indolent and mantle cell lymphoma (MCL) are predominantly treated with chemotherapy or a combination of chemotherapy with monoclonal antibodies. Despite high initial response rates, eventually almost all patients however relapse, leaving the disease incurable. Moreover, with increasing numbers of regimens administered, the responsiveness of patients is reduced. Blinatumomab is a single-chain bispecific antibody construct with specificity for CD19 and CD3, belonging to the class of bispecific T cell engager (BiTE®). Here, we report on patients in an ongoing phase 1 trial treated at a dose of 60 μg/m2/d for 4–8-week by continuous i.v. infusion with single-agent blinatumomab. In total, 12 patients with indolent mainly follicular lymphoma or MCL were treated at 60 μg/m2/d during the first treatment cycle. 11/12 patients showed an objective response (7 PR and 4 CR). As of July 2009, median response duration was 12 months with 6 out of 11 responses still ongoing. The single non-responding patient experienced a reversible, neurological adverse event leading to early discontinuation of treatment. Of the 11 responders, one patient developed a port infection and 4 patients showed neurological symptoms, which were all fully reversible. In order to mitigate neurological adverse events during first dosing, which can occur in a defined subset of patients, patients were treated for 1–2 weeks with a lower initial dose (5 and/or 15 μg/m2/d) followed by a maintenance dose of 60 μg/m2/d. A lower starting dose appeared to ameliorate initial adverse events to an extent that treatment could be continued without interruption. Taken together, our data confirm a high single-agent activity of 60 μg/m2/d blinatumomab infused for 4–8 week with long lasting remissions and a favorable risk/benefit profile. The confirmed dose will be considered for further clinical development of blinatumomab in follicular lymphoma and MCL. New data on patients treated with a dose of 90 μg/m2/d will be presented. Disclosures: Nagorsen: Micromet: Employment, Equity Ownership. Zugmaier:Micromet: Employment, Equity Ownership. Schmidt:Micromet: Employment, Equity Ownership. Klappers:Micromet: Employment, Equity Ownership. Baeuerle:Micromet: Employment, Equity Ownership. Kufer:Micromet: Employment, Equity Ownership, Patents & Royalties. Bargou:Micromet: Consultancy, Patents & Royalties.

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50

Francke, M. K., and F. P. W. Schilder. "Losses on Dutch residential mortgage insurances." Journal of European Real Estate Research 7, no. 3 (October 28, 2014): 307–26. http://dx.doi.org/10.1108/jerer-01-2014-0008.

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Purpose – This paper aims to study the data on losses on mortgage insurance in the Dutch housing market to find the key drivers of the probability of loss. In 2013, 25 per cent of all Dutch homeowners were “under water”: selling the property will not cover the outstanding mortgage debt. The double-trigger theory predicts that being under water is a necessary but not sufficient condition to predict mortgage default. A loss for the mortgage insurer is the result of a default where the proceedings of sale and the accumulated savings for postponed repayment of the principal associated to the loan are not sufficient to repay the loan. Design/methodology/approach – For this study, the authors use a data set on losses on mortgage insurance at a national aggregate level covering the period from 1976 to 2012. They apply a discrete time hazard model with calendar time- and duration-varying covariates to analyze the relationship between year of issue of the insurance, duration, equity, unfortunate events like unemployment and divorce and affordability measures to identify the main drivers of the probability of loss. Findings – Although the number of losses increases over time, the number of losses relative to the active insurance is still low, despite the fact that the Dutch housing market is the world’s most strongly leveraged housing market. On average, the peak in loss probability lies around a duration of four years. The average loss probability is virtually zero for durations larger than 10 years. Mortgages initiated just prior to the beginning of the financial crisis have an increased loss probability. The most important drivers of the loss probability are home equity, unemployment and divorce. Affordability measures are less important. Research limitations/implications – Mortgage insurance is available for the lower end of the market only and is intended to decrease the impact of risk selection by banks. The analysis is based on aggregate data; no information on individual households, like initial loan-to-value and price-to-income ratios; current home equity; and unfortunate events, like unemployment and divorce, is available. The research uses averages of these variables per calendar year and/or duration. Information on repayments of insured mortgages is missing. Originality/value – This paper is the first to describe the main drivers of losses on insured mortgages in The Netherlands by using loss data covering two housing market crises, one in the early 1980s and the current crisis that started in 2008. Much has changed between the two crises. For instance, prices have risen steeply as has household indebtedness. Furthermore, alternative mortgage products have increased in popularity. Focusing a study on the drivers of mortgage losses exclusively on the current crisis could therefore be biased, given the time-specific circumstances on the housing market.

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Journal articles on the topic 'Equitu duration'

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