This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean … paper finds that duration factor defined as the difference in returns of short-duration and longduration stocks captures … well the momentum profits. That is, a two-factor model with the market and duration factor performs much better than …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …

The concept of bond duration was originally introduced by Macaulay (1938) and nowadays is well- established in the … equities. I derive three candidate models for estimating the duration of a stock. The models are vastly different in their …. Furthermore, I investigate the relationship between the equity duration factor and various common equity factors. Empirical …

Engle and Russell (1998) introduce the autoregressive conditional duration (ACD) model to model the dynamics of … financial duration. It is recognized that the ACD model can be specified in ARMA form. We show that as long as the innovations … this fact, we develop a lognormal autoregressive conditional duration (LNACD) model. The LNACD model permits a humped …

Duration is an important parameter used by investors to choose between different investment opportunities in financial … economics. While the concept of duration is usually associated with fixed-income assets, its expansion to the equity assets is … provide a first complete overview of Equity Duration, calculating and comparing different types, investigating the changes in …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … for short-sale constraints, and find the negative cross-sectional relationship between cash flow duration and returns is …

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month … lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level … growth into the future and predict high returns for high-duration stocks following high-sentiment periods, contrary to ex …

limit order markets with fast and slow traders. Only the fast traders can access the liquidity of both venues simultaneously …. Empirically, we confirm the predictions that the fraction of fast traders (i) reduces the equilibrium liquidity supply and (ii …

We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity …. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly … of market-making participants benefit market liquidity …