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Interest rate hedging and equity duration: Australian evidence

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  • Sweeney, Mary Elizabeth

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  • Sweeney, Mary Elizabeth, 1998. "Interest rate hedging and equity duration: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 277-298.
    • Handle: RePEc:eee:finana:v:7:y:1998:i:3:p:277-298
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    1. Lenos Trigeorgis, 1993. "Real Options and Interactions With Financial Flexibility," Financial Management, Financial Management Association, vol. 22(3), Fall.
    2. Sweeney, Richard J & Warga, Arthur D, 1986. "The Pricing of Interest-Rate Risk: Evidence from the Stock Market," Journal of Finance, American Finance Association, vol. 41(2), pages 393-410, June.
    3. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
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    5. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    6. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
    7. Frederick R. Macaulay, 1938. "Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields and Stock Prices in the United States since 1856," NBER Books, National Bureau of Economic Research, Inc, number maca38-1, March.
    8. Akella, Srinivas R & Chen, Su-Jane, 1990. "Interest Rate Sensitivity of Bank Stock Returns: Specification Effects and Structural Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(2), pages 147-154, Summer.
    9. Carmichael, Jeffrey & Stebbing, Peter W, 1983. "Fisher's Paradox and the Theory of Interest," American Economic Review, American Economic Association, vol. 73(4), pages 619-630, September.
    10. Merton H. Miller & Franco Modigliani, 1961. "Dividend Policy, Growth, and the Valuation of Shares," The Journal of Business, University of Chicago Press, vol. 34, pages 411-411.
    11. Bernard, Victor L., 1986. "Unanticipated inflation and the value of the firm," Journal of Financial Economics, Elsevier, vol. 15(3), pages 285-321, March.
    12. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
    13. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    14. McGoun, Eiton G. & Kester, George W., 1994. "A commentary on financial research in the Asia Pacific region," International Review of Financial Analysis, Elsevier, vol. 3(2), pages 113-123.
    15. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 123-126, March.
    16. Srinivas R. Akella & Su-Jane Chen, 1990. "Interest Rate Sensitivity Of Bank Stock Returns: Specification Effects And Structural Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(2), pages 147-154, June.
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    Cited by:

    1. Jareño, Francisco & Navarro, Eliseo, 2010. "Stock interest rate risk and inflation shocks," European Journal of Operational Research, Elsevier, vol. 201(2), pages 337-348, March.

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