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Keywords: Duration
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2021) 29 (1): 49–72.
Published: 22 March 2021
...Jaewan Bae; Changjun Lee This paper examines the role of illiquidity and duration factor in understanding the momentum profit in the Korean stock market. We find that the foreigner/institutional illiquidity factor explains the momentum effect. In addition, this paper finds that duration factor...
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2012) 20 (4): 391–425.
Published: 30 November 2012
...Yun Woo Park; Doo Won Bang Residential mortgage loans as well as the MBS (mortgage-backed security), which securitizes these loans, are exposed to prepayment risk. We examine the effect of prepayment process on the duration of the CMO (multi-tranche MBS). In particular, we examine the effect...
