Implied Equity Duration : Lessons from the Japanese Financial Crises

Fukuta, Yuichi; Yamane, Akiko

Implied Equity Duration : Lessons from the Japanese Financial Crises

Fukuta, Yuichi; Yamane, Akiko

Discussion Papers In Economics And Business, 2024, 24-08, 1-26

アクセス数:212件（2025-07-08 18:51 集計）

固定URL: https://hdl.handle.net/11094/97131

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タイトル	Implied Equity Duration : Lessons from the Japanese Financial Crises
著者	NRID 1000000243147 1000000243147 researchmap permalink read0013892 read0013892 Scopus Author ID 7005046983 7005046983 著者名 Fukuta, Yuichi
著者	NRID 1000060580173 1000060580173 著者名 Yamane, Akiko
キーワード等	equity duration
	cross-section of stock returns
	market uncertainty
	financial crisis
	pandemic
JEL分類コード (JEL)	G12
抄録	We present novel insights into the Japanese equity return term structure by examining the reversals of risk-adjusted returns on duration-sorted portfolios, as were particularly observed during the COVID-19 pandemic and are common during crises. Our analysis, conducted over the Japanese stock market from 1990 to 2022, reveals that market uncertainty significantly explains the returns of the long-short duration portfolio. Additionally, we find that the countercyclicality of the equity term structure can be attributed to differences in the response of returns to considerably large negative shocks. This study contributes to the understanding of the relationship between the timing of cash flows and stock returns and offers valuable implications for studies on the cross-section of stock returns.
出版者	Graduate School of Economics, Osaka University
収録物名	Discussion Papers In Economics And Business
巻(号)	24-08
ページ	1-26
刊行年月	2024-07
言語	英語
ハンドルURL	https://hdl.handle.net/11094/97131
関連情報 (references)	URI https://www2.econ.osaka-u.ac.jp/econ_society/dp/2408.pdf
アクセス権	metadata only access
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Discussion Papers In Economics And Business

資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
DCMI資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business. 2024, 24-08, p. 1-26
DC.title	Implied Equity Duration : Lessons from the Japanese Financial Crises
DC.creator	Fukuta, Yuichi
DC.creator	Yamane, Akiko
DC.publisher	Graduate School of Economics, Osaka University
DC.language' scheme='DCTERMS.RFC1766	英語
DC.type' scheme='DCTERMS.DCMIType	text
DCTERMS.issued' scheme='DCTERMS.W3CDTF	2024-07
DC.relation' scheme='DCTERMS.URI	https://www2.econ.osaka-u.ac.jp/econ_society/dp/2408.pdf
DC.subject	equity duration
	cross-section of stock returns
	market uncertainty
	financial crisis
	pandemic
DCTERMS.abstract	We present novel insights into the Japanese equity return term structure by examining the reversals of risk-adjusted returns on duration-sorted portfolios, as were particularly observed during the COVID-19 pandemic and are common during crises. Our analysis, conducted over the Japanese stock market from 1990 to 2022, reveals that market uncertainty significantly explains the returns of the long-short duration portfolio. Additionally, we find that the countercyclicality of the equity term structure can be attributed to differences in the response of returns to considerably large negative shocks. This study contributes to the understanding of the relationship between the timing of cash flows and stock returns and offers valuable implications for studies on the cross-section of stock returns.
DC.format	97131
citation_title	Implied Equity Duration : Lessons from the Japanese Financial Crises
citation_author	Fukuta, Yuichi
citation_author	Yamane, Akiko
citation_publisher	Graduate School of Economics, Osaka University
citation_language	英語
citation_date	2024-07
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	24-08
citation_firstpage	1
citation_lastpage	26
citation_public_url	https://hdl.handle.net/11094/97131
citation_abstract_html_url	https://www2.econ.osaka-u.ac.jp/econ_society/dp/2408.pdf

Implied Equity Duration : Lessons from the Japanese Financial Crises

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