Calling the end of the duration trade
Really great post. Did you think about looking at two-way sorts with b/m and duration? A lot of high duration stocks are likely to be growth stocks I would imagine. It would be interesting to separate the effect of duration and value.
Nice post! Thanks. Question on the regressions to form the portfolios. How far do you look back for the formation period?
Really great post. Did you think about looking at two-way sorts with b/m and duration? A lot of high duration stocks are likely to be growth stocks I would imagine. It would be interesting to separate the effect of duration and value.
Nice post! Thanks. Question on the regressions to form the portfolios. How far do you look back for the formation period?