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Interest-rate risk and the pricing of depository financial intermediary common stock · Study

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ArticleInterest-rate risk and the pricing of depository financial intermediary common stock

Pierre Yourougou1990

Article1990

Interest-rate risk and the pricing of depository financial intermediary common stock

Pierre Yourougou

110 citations·0/0 files stored·Journal of Banking & Finance

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Financial Markets and Investment Strategies Banking stability, regulation, efficiency Risk Management in Financial Firms

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References

1977Time Series Analysis: Forecasting and Control 1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1973An Intertemporal Capital Asset Pricing Model 1977Time Series Analysis: Forecasting and Control 1986Economic Forces and the Stock Market

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Year1990

Typearticle

Published1990-10-01

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations110

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0378-4266(90)90077-f

openalex_workW1585297161

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1995BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE 2006Monetary Shocks and REIT Returns 2008Common risk factors in bank stocks 1997Asset pricing, time-varying risk premia and interest rate risk 1998Interest rate changes and common stock returns of financial institutions: evidence from the UK 2001Citicorp–Travelers Group merger: Challenging barriers between banking and insurance 2001The Wealth Effects of Allowing Bank Entry into the Insurance Industry 1993An empirical analysis of bank interest rate swaps