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Deposit Rate-Setting, Risk Aversion, and the Theory of Depository Financial Intermediaries
11 references·10 citing·41 second hop
Deposit Rate-Setting, Risk Aversion, and the Theory of Depository Financial Intermediaries (1980)Deposit Rate-Setting, Risk Aversion, and …Managerial Objectives in Regulated Industries: Expense-Preference Behavior in Banking (1977)Managerial Objectives in Regu…INPUTS, OUTPUTS, AND A THEORY OF PRODUCTION AND COST AT DEPOSITORY FINANCIAL INSTITUTIONS (1977)INPUTS, OUTPUTS, AND A THEORY…The Valuation of Uncertain Income Streams and the Pricing of Options (1976)The Valuation of Uncertain In…On the Application of Portfolio Theory to Depository Financial Intermediaries (1974)On the Application of Portfol…Theory of the Firm Facing Uncertain Demand (1972)Theory of the Firm Facing Unc…On the theory of the competitive firm under price uncertainty (1971)On the theory of the competit…ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)ON THE THEORY OF FINANCIAL IN…A Theory of the Banking Firm (1971)A Theory of the Banking FirmPrice Uncertainty, Utility, and Industry Equilibrium in Pure Competition (1970)Price Uncertainty, Utility, a…Discount House Portfolio and Debt Selection (1970)Discount House Portfolio and …Bank Portfolio Allocation, Deposit Variability, and the Availability Doctrine (1965)Bank Portfolio Allocation, De…Hazardous lending: The impact of natural disasters on bank asset portfolio (2022)Hazardous lending: The impact…COVID-19 outbreak, government capital injections, and shadow banking efficiency (2020)COVID-19 outbreak, government…Loan pricing under Basel II in an imperfectly competitive banking market (2008)Loan pricing under Basel II i…Industrial Organization of Banking: A Review (1998)Industrial Organization of Ba…THEORIES OF THE BANKING FIRM: A REVIEW OF THE LITERATURE* (1996)THEORIES OF THE BANKING FIRM:…Economies of scale and scope in French commercial banking industry (1993)Economies of scale and scope …Bank spread with uncertain deposit level and risk aversion (1989)Bank spread with uncertain de…Optimal Futures Positions for Large Banking Firms (1988)Optimal Futures Positions for…A general model of the banking firm under conditions of monopoly, uncertainty, and recourse (1986)A general model of the bankin…Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument (1985)Bank Funding Risks, Risk Aver…Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Models of Market Organization with Imperfect Information: A Survey (1973)Competitive Firm and the Theory of Input Demand under Price Uncertainty (1974)Risk Aversion in the Small and in the Large (1976)Duopoly information equilibrium: Cournot and Bertrand (1989)Survey of current business (1921)Department of Labor (1941)The Economics of Discrimination. (1972)Entrepreneurship and Economic Development: The Problem Revisited (1979)Discrimination, Nepotism, and Long-Run Wage Differentials (1982)Property Rights, Transaction Costs, and X-Efficiency: An Essay in Economic Theory (1983)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Formulation of the Russell-Yasuda Kasai Financial Planning Model (1998)The cost of capital, corporation finance and the theory of investment (2008)Credit risk management and profitability of Commercial banks in kenya (2010)Optimum consumption and portfolio rules in a continuous-time model (1971)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)Market power and firm risk (1982)Credit risk measurement (1992)Regulating financial conglomerates (2007)Foundations of Economic Analysis. (1948)Adjustment Costs, Uncertainty, and the Behavior of the Firm (1982)On the Effect of Demand Randomness on Inventories and Costs (1992)The Welfare Impacts of Commodity Price Volatility: Evidence from Rural Ethiopia (2011)Theory of games and economic behavior (2019)Stochastic specification of production functions and economic implications (1978)Cash Crop Production, Food Price Volatility, and Rural Market Integration in the Third World (1992)Rising Food Prices, Food Price Volatility, and Social Unrest (2014)The Rigidity of Prices: Evidence from the Banking Industry (1991)Capital requirements and the behaviour of commercial banks (1992)The Seeds of a Crisis: A Theory of Bank Liquidity and Risk-Taking Over the Business Cycle (2011)Chapter 16 Credit rationing (1990)BANKING RELATIONSHIPS AND THE EFFECT OF MONITORING ON LOAN PRICING (1997)Evidence of jointness in the terms of relationship lending (2007)A directional slacks-based measure of technical inefficiency (2009)Assessing bank efficiency and performance with operational research and artificial intelligence techniques: A survey (2009)Outreach and Efficiency of Microfinance Institutions (2011)Implied Binomial Trees (1994)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)The Adaptive Markets Hypothesis (2004)
this work references cited by second hop

References

  • 1977INPUTS, OUTPUTS, AND A THEORY OF PRODUCTION AND COST AT DEPOSITORY FINANCIAL INSTITUTIONS1,904 cited
  • 1976The Valuation of Uncertain Income Streams and the Pricing of Options1,620 cited
  • 1971On the theory of the competitive firm under price uncertainty1,450 cited
  • 1971A Theory of the Banking Firm772 cited
  • 1972Theory of the Firm Facing Uncertain Demand550 cited
  • 1971ON THE THEORY OF FINANCIAL INTERMEDIATION283 cited
  • 1965Bank Portfolio Allocation, Deposit Variability, and the Availability Doctrine268 cited
  • 1970Price Uncertainty, Utility, and Industry Equilibrium in Pure Competition267 cited
  • 1977Managerial Objectives in Regulated Industries: Expense-Preference Behavior in Banking266 cited
  • 1974On the Application of Portfolio Theory to Depository Financial Intermediaries197 cited
  • 1970Discount House Portfolio and Debt Selection143 cited

Cited by

  • 1989Bank spread with uncertain deposit level and risk aversion101 cited
  • 1998Industrial Organization of Banking: A Review83 cited
  • 2008Loan pricing under Basel II in an imperfectly competitive banking market73 cited
  • 1986A general model of the banking firm under conditions of monopoly, uncertainty, and recourse

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73 cited
  • 1996THEORIES OF THE BANKING FIRM: A REVIEW OF THE LITERATURE*64 cited
  • 2022Hazardous lending: The impact of natural disasters on bank asset portfolio59 cited
  • 1985Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument47 cited
  • 1993Economies of scale and scope in French commercial banking industry43 cited
  • 1988Optimal Futures Positions for Large Banking Firms35 cited
  • 2020COVID-19 outbreak, government capital injections, and shadow banking efficiency30 cited