Duration and Security Risk

Information, interest rates, and the volatility of asset prices

“…This case is similar to that investigated by Lanstein and Sharpe (1978), in which the authors related volatility to the duration of the dividend income stream of a stock. In this case theorem 1 simplifies to Oj' ~ Oj~O-r. This follows from the fact that Df = 0, and Dj = l)/.…”

“…Macaulay (1938) used duration to study bond price volatility, and this has been the main focus of subsequent applications of the concept. Applications to equities are less common in the literature, although examples are to be found in Boquist, Racette, and Schlarbaum (1975), Livingston (1978), Lanstein and Sharpe (1978), and . The models in this article represent an extension of this work.…”

The Opportunity Cost of Capital of US Buyouts

“…Blume, Keim, and Patel (1991) directly calculate betas with the S&P 500 for different periods using Scholes and Williams' (1977) and OLS-regressions of returns on government bonds and on low-grade bonds with at least ten years to maturity. They find beta factors for the government bonds ranging between 0.16 and 0.83 and betas for the low-grade bonds of 18 See Fisher and Weil (1971), Boquist, Racette, and Schlarbaum (1975), Lanstein andSharpe (1978), p. 657, Livingston (1978) and Cox, Ingersoll, and Ross (1979). 19 See Altman (1989), p. 913, Asquith, Mullins, and Wolff (1989), p. 928, and Blume, Keim, and Patel (1989), published (1991.…”

Corporate governance and stock market duration for South Korea and the USA

“…For example, Casabona, Fabozzi and Francis (1984) aimed to estimate the interest rate risk of equity investments. Further, there have been studies concerned with explaining security risk through duration (Lanstein and Sharpe 1978).…”

“…It is therefore difficult to estimate duration for equity without making some assumption about future dividend payments. For example, Casabona, Fabozzi and Francis (1984) used the dividend growth model to explain the progression of future dividends in estimating equity durations, and Lanstein and Sharpe (1978) employed a certainty equivalent valuation to estimate equity duration for a large number of companies. Our technique assumes a constant share price/dividend ratio for shares.…”