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Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks
16 references·16 citing·47 second hopsampled
Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks (1997)Derivative Exposure and the Interest Rate…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…The World Price of Foreign Exchange Risk (1995)The World Price of Foreign Ex…Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals (1995)Exchange Risk Sensitivity and…Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect (1994)Firm Valuation, Earnings Expe…The sensitivity of bank stock returns to market, interest and exchange rate risks (1992)The sensitivity of bank stock…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…The Pricing of Exchange Rate Risk in the Stock Market (1991)The Pricing of Exchange Rate …The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)The Pricing of Interest-Rate …Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note (1985)Interest Rate Sensitivity in …The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Financial Intermediation and Delegated Monitoring (1984)Financial Intermediation and …Multivariate regression models for panel data (1982)Multivariate regression model…Exposure to exchange-rate movements (1982)Exposure to exchange-rate mov…Tests of the multiperiod two-parameter model (1974)Tests of the multiperiod two-…Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…An equilibrium model of the international capital market (1974)An equilibrium model of the i…The Use of Financial Derivatives and Risks of U.S. Bank Holding Companies (2018)The Use of Financial Derivati…How do derivative securities affect bank risk and profitability? (2017)How do derivative securities …The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey (2016)The Effect of Credit and Mark…Time-varying systematic and idiosyncratic risk exposures of US bank holding companies (2014)Time-varying systematic and i…Model uncertainty and systematic risk in US banking (2014)Model uncertainty and systema…Off-Balance Sheet Activities Impact on Commercial Banks Performance: An Emerging Market Perspective (2013)Off-Balance Sheet Activities …Interest Rate Risk and Bank Equity Valuations (2012)Interest Rate Risk and Bank E…Interest Rate Risk and Bank Equity Valuations (2012)Interest Rate Risk and Bank E…The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies (2010)The Impact of Derivatives Act…The foreign exchange exposure of Chinese banks (2009)The foreign exchange exposure…The Response of Industry Stock Returns to Market, Exchange Rate and Interest Rate Risk (2007)The Response of Industry Stoc…Foreign exchange risk exposure of listed companies in Ghana (2007)Foreign exchange risk exposur…The sensitivity of US banks' stock returns to interest rate and exchange rate changes (2006)The sensitivity of US banks' …Does The Use Of Derivatives Increase Bank Efficiency? Evidence From Latin American Banks (2006)Does The Use Of Derivatives I…The Association Between Market and Exchange Rate Risks and Accounting Variables: A GARCH Model of the Japanese Banking Institutions (2005)The Association Between Marke…The risk of foreign currency contingent claims at US commercial banks (2000)The risk of foreign currency …Efficient Inference in a Random Coefficient Regression Model (1970)MONEY, INCOME, AND CAUSALITY (1972)On the Pooling of Time Series and Cross Section Data (1978)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)What have We Learnt from the Convergence Debate? (2003)A simple approach to quantile regression for panel data (2011)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)A bivariate causality between stock prices and exchange rates: evidence from recent Asianflu☆ (2000)Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Exchange Rate Exposure (2001)The arbitrage theory of capital asset pricing (1976)The Determinants of Firms' Hedging Policies (1985)Economic Forces and the Stock Market (1986)Profitability of Momentum Strategies in the International Equity Markets (2000)Are Financial Assets Priced Locally or Globally? (2002)Stock prices and exchange rate dynamics (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Note on Uncertainty and Indifference Curves (1969)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)Moral Hazard and Observability (1979)Bank Runs, Deposit Insurance, and Liquidity (1983)The Benefits of Lending Relationships: Evidence from Small Business Data (1994)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Modern Portfolio Theory and Investment Analysis. (1982)The Exchange-Rate Exposure of U.S. Multinationals (1990)Estimating Exchange Rate Exposures: Issues in Model Structure (2003)Resolving the exposure puzzle: The many facets of exchange rate exposure (2009)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)Problems and Solutions in Conducting Event Studies (1990)Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)An Intertemporal Capital Asset Pricing Model (1973)Asset returns and inflation (1977)Risk measurement when shares are subject to infrequent trading (1979)Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Does the stock market value bank diversification? (2007)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Common risk factors in the returns on stocks and bonds (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Asset Prices in an Exchange Economy (1978)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)A New Approach to Measuring Financial Contagion (2000)International Liquidity and Exchange Rate Dynamics * (2015)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1984Financial Intermediation and Delegated Monitoring8,393 cited
  • 1982Multivariate regression models for panel data1,293 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1995The World Price of Foreign Exchange Risk765 cited
  • 1994Firm Valuation, Earnings Expectations, and the Exchange-Rate Exposure Effect751 cited
  • 1991The Pricing of Exchange Rate Risk in the Stock Market613 cited
  • 1995Exchange Risk Sensitivity and Its Determinants: A Firm and Industry Analysis of U.S. Multinationals386 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market283 cited
  • 1995The World Price of Foreign Exchange Risk265 cited
  • 1992The sensitivity of bank stock returns to market, interest and exchange rate risks251 cited
  • 1982Exposure to exchange-rate movements203 cited
  • 1985Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note

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124 cited
  • 1974Tests of the multiperiod two-parameter model110 cited
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    • 2006The sensitivity of US banks' stock returns to interest rate and exchange rate changes67 cited
    • 2016The Effect of Credit and Market Risk on Bank Performance: Evidence from Turkey59 cited
    • 2007The Response of Industry Stock Returns to Market, Exchange Rate and Interest Rate Risk57 cited
    • 2012Interest Rate Risk and Bank Equity Valuations56 cited
    • 2012Interest Rate Risk and Bank Equity Valuations44 cited
    • 2007Foreign exchange risk exposure of listed companies in Ghana41 cited
    • 2014Time-varying systematic and idiosyncratic risk exposures of US bank holding companies39 cited
    • 2009The foreign exchange exposure of Chinese banks37 cited
    • 2017How do derivative securities affect bank risk and profitability?33 cited
    • 2000The risk of foreign currency contingent claims at US commercial banks29 cited
    • 2005The Association Between Market and Exchange Rate Risks and Accounting Variables: A GARCH Model of the Japanese Banking Institutions26 cited
    • 2013Off-Balance Sheet Activities Impact on Commercial Banks Performance: An Emerging Market Perspective26 cited
    • 2014Model uncertainty and systematic risk in US banking26 cited
    • 2010The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies26 cited
    • 2006Does The Use Of Derivatives Increase Bank Efficiency? Evidence From Latin American Banks26 cited
    • 2018The Use of Financial Derivatives and Risks of U.S. Bank Holding Companies25 cited