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The Association Between Market and Exchange Rate Risks and Accounting Variables: A GARCH Model of the Japanese Banking Institutions
16 references·1 citing·51 second hop
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1972THE EFFECT OF THE FIRM'S CAPITAL STRUCTURE ON THE SYSTEMATIC RISK OF COMMON STOCKS1,130 cited
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1997The International Transmission of Financial Shocks: The Case of Japan695 cited
  • 2001What do financial intermediaries do?522 cited
  • 1998Predicting Bank Failures: A Comparison of On- and Off-Site Monitoring Systems277 cited
  • 1978Corporate Signaling, External Accounting, and Capital Market Equilibrium: Evidence on Dividends, Income, and Extraordinary Items274 cited
  • 1992The sensitivity of bank stock returns to market, interest and exchange rate risks251 cited
  • 1998Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model251 cited
  • 1997The exchange rate exposure of U.S. and Japanese banking institutions199 cited
  • 1998The Information Content of Bank Examinations148 cited

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  • 1990INTEREST RATE CHANGES AND COMMON STOCK RETURNS OF FINANCIAL INSTITUTIONS: REVISITED133 cited
  • 1991Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model124 cited
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    • 2012The risk relevance of International Financial Reporting Standards: Evidence from Greek banks24 cited