演講者簡介 : 郭維裕教授為Ph.D. in Economics，University of Cambridge (1998)。現為政治大學國貿系副教授。其主要研究領域為財務經濟學。
演講摘要 : This paper studies the empirical equity duration by examining the sensitivity of stock returns to interest rate changes. In the regression framework, we control for three important asset-pricing factors, namely the market excess returns, and Fama and French’s (1993) two factors constructed on firm-size and book-to-market ratio. To account for possible biases generated from the collinearity between the market excess return and the interest rate change, this paper extends the work of Cornell (2000) by taking care of the collinearity problem with Fama and French’s orthogonalized market factor. This allows us to obtain a more viable estimate of the empirical equity duration. Furthermore, considering the time-varying nature of the empirical equity duration, we also test for the most recent break point of the regression relationship by the reversed ordered Cusum test (Pesaran and Timmermann, 2002), and propose a most up-to-date estimate of empirical equity duration, which is important for investors who view the empirical equity duration as important information in constructing their investment strategies.
