• 1. Introduction
  • 2. Research Hypotheses
  • 3. Methodology
  • 3.1 The Nelson and Siegel (1987) approach to model the term structure
  • 3.2 Measuring the interest rate risk exposure of bonds
  • 3.3 Measuring the interest rate risk exposure of stocks
  • 3.4 Construction of benchmark protfolios
  • 4. Data
  • 4.1 Fixed-income
  • 4.2 Equities
  • 5. Empirical Results
  • 5.1 Bond indices
  • 5.2 Industry portfolios
  • 5.3 Individual companies
  • 6. Summary