کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5069940 1373222 2007 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Equity duration and convexity when firms can fail or stagnate
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Equity duration and convexity when firms can fail or stagnate
چکیده انگلیسی
Previous analysis of equity duration and convexity has either ignored the risk that firms can fail or stop growing, or else has incorporated the risk of failure in an ad hoc way. This paper derives equity duration and convexity rigorously corrected for the risk of failure or stagnation. We show that the correction is large enough to be important in standard applications. Further, equity duration is unaffected by any liquidation payout at the time of failure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 4, Issue 4, December 2007, Pages 233-241
نویسندگان
,