We also show that, in order to explain empirical finding that long-horizon equity is less risky than short-horizon equity, the properties of the cash flow model and the values of primitive preference parameters must be quite different from those emphasized in the existing long-run risk ...
题目 Duration measures the: A. timing of cash flows weighted by the proportionate value of each flow's present value. B. length of time until a bond matures. C. cash flows weighted by the timing of the cash flows. 相关知识点: 试题来源: 解析 A 略 反馈 收藏 ...
A key use of duration is that it enables us to estimate the effects of an interest rate change on a bonds price. Measuring Duration t= period of cash flow n= periods to maturity PV(Ct)= PV of the cash flow discounted at the YTM P= Market price (the PV of all the future cash fl...
We study the role of information in asset pricing models with long-run cash flow risk. To illustrate the importance of the information structure, we show how the implications of the long-run risk paradigm for the cross-sectional properties of stock returns and cash flow duration are affected by...
2）票息越高，久期越靠前；3）尾部本金支付越集中，久期越靠后。对于Yield越高Duration越短的解释：这...
One such application is R&D projects, where both the magnitude and duration of cash-flows are uncertain at the time of investment decision. Previous models have assumed cash-flow duration to be certain. We relax this assumption. We then specialize these results to geometric, mixed-geometric and ...
那么,对于cash flow matching,由于不涉及到提前卖出债券和coupon再投资,所以,风险更小,风险小对应的是低收益,也就是折现率低,在三笔负债现金流已知的情况下,折现率低,则期初的PV大,也即期初需要准备更多的现金,成本更高。 ---努力的时光都是限量版,加油! 添加评论 0 0 2 回答 0 关注 442 浏览 我要回答...
Macaulay duration是时间概念,衡量的是债券现金流发生的加权平均时间(The weighted-average time to receipt of cash flow),虽然说Macaulay duration在计算时也是假设平行移动,但他是时间概念和另外两个不一样。 Modified duration、Effective duration是利率敏感度概念,衡量的是Yield curve small parallel shift “而只有...
Finance Duration calculate the duration of a set of cash flows or bonds Calling Sequence Parameters Options Description Examples Compatibility Calling Sequence Duration( cashflows , rate , opts ) Duration( bond , rate , opts ) Parameters cashflows -...
Because Macaulay duration is a partial function of the time to maturity, the greater the duration, the greater the interest rate risk or reward for bond prices. Macaulay duration can be calculated manually as: MacD=∑f=1nCFf(1+yk)f×tfPVwhere:f=cash flow numberCF=cash flow amounty=yield...