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Risk and return in banking: evidence from bank stock returns
10 references·4 citing·35 second hop
Risk and return in banking: evidence from bank stock returns (1991)Risk and return in banking: evidence from…Change in Market Assessments of Deposit-Institution Riskiness (1988)Change in Market Assessments …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note (1985)Interest Rate Sensitivity in …An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach (1980)An Empirical Study of the Int…A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS (1980)A RE‐EXAMINATION OF INTEREST …Foundations of Finance: Portfolio Decisions and Securities Prices (1978)Foundations of Finance: Portf…A Test of Stone's Two-Index Model of Returns (1977)A Test of Stone's Two-Index M…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model (2007)Interest Rate Risk and Equity…Beta comparisons across industries—a Water transportation industry perspective (1998)Beta comparisons across indus…The stock market perception of industry risk and the separation of banking and commerce (1994)The stock market perception o…The impact of market contestability on the systematic risk of US bank stocks (1994)The impact of market contesta…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE 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.] (1975)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Risk-Return Classes of New York Stock Exchange Common Stocks, 1931–1967 (1972)EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS (1985)Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms (1990)Interest rate changes and common stock returns of financial institutions: evidence from the UK (1998)Market and Industry Factors in Stock Price Behavior (1966)Investment Analysis and Portfolio Management. (1979)Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model (1991)BANK EXPOSURE TO INTEREST RATE RISK: A GLOBAL PERSPECTIVE (1995)Equilibrium in a Capital Asset Market (1966)The capital asset pricing model: Some empirical tests (1972)REIT Characteristics and the Sensitivity of REIT Returns (2000)The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey (2011)Proceedings of a Conference on Bank Structure and Competition. (1969)Interactions Between Property and Equity Markets: An Investigation of Linkages in the United Kingdom 1972–1992 (1997)Common risk factors in bank stocks (2008)Required Disclosure and the Stock Market: An Evaluation of the Securities Exchange Act of 1934 (1973)The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)Impact of the 1988 Basle Accord on International Banks (1996)Risk and Return of Information Technology Initiatives: Evidence from Electronic Commerce Announcements (2007)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Problems and Solutions in Conducting Event Studies (1990)The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (2006)Some stylized facts of the Bitcoin market (2017)Towards a more ethical market: the impact of ESG rating on corporate financial performance (2018)
this work references cited by second hop

References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1978Foundations of Finance: Portfolio Decisions and Securities Prices303 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1980An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach175 cited
  • 1988Change in Market Assessments of Deposit-Institution Riskiness156 cited
  • 1980A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS128 cited
  • 1985Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note124 cited
  • 1977A Test of Stone's Two-Index Model of Returns100 cited

Cited by

  • 2007Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model70 cited
  • 1998Beta comparisons across industries—a Water transportation industry perspective23 cited
  • 1994The impact of market contestability on the systematic risk of US bank stocks23 cited
  • 1994The stock market perception of industry risk and the separation of banking and commerce20 cited

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