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Contribution Details
| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Equity Duration in an Environment of Ultra-Low Interest Rates |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Date | 2020 |
| Abstract Text | This thesis examines the equity duration or interest rate sensitivity of aggregate stock markets in the United States, Germany and Switzerland in the current macroeconomic environment of ultra-low (real) interest rates. Using a sample of broad stock market indexes and long-term government bonds, stock returns are found to be positively correlated with the interest rate counter economic expectations. The interacting equity risk premium during this time is suggested to dampen the effect of the interest rate on the equity prices leading to the negative equity duration. Consequently, pension funds should remain reluctant to use equities in interest rate risk management. |
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