Article1990

INTEREST RATE SENSITIVITY OF BANK STOCK RETURNS: SPECIFICATION EFFECTS AND STRUCTURAL CHANGES

65 citations0/0 files storedThe Journal of Financial Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Banking stability, regulation, efficiency Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

Abstract In this paper the interest rate sensitivity of bank stock returns under alternative econometric specifications and the changes in the sensitivity over time are studied. Results indicate that the sensitivity depends on the econometric specification and the period considered. Bank stock returns show a sensitivity to long‐term government security returns and innovations, but not to short‐term government security returns and innovations except under one specification. Since 1980, banks seem to have reduced their interest rate risk exposure. Finally, while long‐term returns are positively associated with stock returns, short‐term returns show a positive association only since 1980.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 65 citations exist upstream.

References

1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions 1993Stocks, bonds, bills, and inflation yearbook 1980An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach 1980A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS 1985Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note 1977A Test of Stone's Two-Index Model of Returns 1985EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS 1988An Asset-Pricing Theory Unifying the CAPM and APT

Cited by

2007Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH–M Model 1999Interest rate risk of Australian financial sector companies in a period of regulatory change 2013Institutional Ownership, Diversification, and Riskiness of Bank Holding Companies 2005An Investigation of the Impact of Interest Rates and Interest Rate Volatility on Australian Banking Sector Stock Return Distributions 2013Interest rate risk and the creation of the Monetary Policy Committee: Evidence from banks’ and life insurance companies’ stocks in the UK

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.