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Discussion; Duration and Security Risk

Published online by Cambridge University Press:  06 April 2009

Willard T. Carleton
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Extract

Lanstein and Sharpe (LS) attempt to explain residual covariances between stocks on the basis of duration considerations. The results, by admission are mixed. Rather than to focus on these per se, I would like to further the work by making some suggestions with respect to the formal model development and the empirical tests-on the basis that both could be made crisper and thereby increase the value of what already is a contribution.

Type
III. Duration and Portfolio Strategy
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 4 , November 1978 , pp. 669 - 670
Copyright
Copyright © School of Business Administration, University of Washington 1978

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References

REFERENCES

[1]Carleton, W. T., and Cooper, I. A.. “Estimation and Uses of the Term Structure of Interest Rates.” Journal of Finance (09 1976), pp. 1067–1083.CrossRefGoogle Scholar
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