Implied Equity Duration : Lessons from the Japanese Financial Crises

Fukuta, Yuichi; Yamane, Akiko

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

Number of Access:349（2025-09-04 08:31 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/11094/97131

Item Information

Output File Export EndNote Basic Export Mendeley

Title
Implied Equity Duration : Lessons from the Japanese Financial Crises
Creator
NRID
1000000243147 1000000243147
researchmap permalink
read0013892 read0013892
Scopus Author ID
7005046983 7005046983
CreatorName
Fukuta, Yuichi
NRID
1000060580173 1000060580173
CreatorName
Yamane, Akiko
Subject
equity duration
cross-section of stock returns
market uncertainty
financial crisis
pandemic
JEL
G12
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.
Publisher
Graduate School of Economics, Osaka University
Source Title
Discussion Papers In Economics And Business
Volume (Issue)
24-08
Page
1-26
Date of Issued
2024-07
Language
English
Handle URL
https://hdl.handle.net/11094/97131
Relation.references
URI
https://www2.econ.osaka-u.ac.jp/econ_society/dp/2408.pdf
Access Rights
metadata only access
Category
ディスカッション／ワーキング・ペーパー DP/WP
Discussion Papers In Economics And Business