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The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions
6 references·16 citing·49 second hop
The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate Changes on th…Short- Term Interest Rates as Predictors of Inflation (2021)Short- Term Interest Rates as…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Inflation, real returns and capital investment (1982)Inflation, real returns and c…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …Asset returns and inflation (1977)Asset returns and inflationAn Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Banking on Deposits: Maturity Transformation without Interest Rate Risk (2021)Banking on Deposits: Maturity…“Low-For-Long” interest rates and banks’ interest margins and profitability: Cross-country evidence (2017)“Low-For-Long” interest rates…Size Anomalies in U.S. Bank Stock Returns (2014)Size Anomalies in U.S. Bank S…Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Safer ratios, riskier portfol…Does the stock market value bank diversification? (2007)Does the stock market value b…Banking on the Equator. Are Banks that Adopted the Equator Principles Different from Non-Adopters? (2007)Banking on the Equator. Are B…The Bank Capital Channel of Monetary Policy (2006)The Bank Capital Channel of M…Does Recognition versus Disclosure Matter? Evidence from Value-Relevance of Banks' Recognized and Disclosed Derivative Financial Instruments (2006)Does Recognition versus Discl…Does Hedging Affect Firm Value? Evidence from the US Airline Industry (2006)Does Hedging Affect Firm Valu…Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe (2002)Cost and Profit Efficiency of…CEO compensation and bank mergers (2001)CEO compensation and bank mer…Corporate control, bank risk taking, and the health of the banking industry (2000)Corporate control, bank risk …Oil price risk and the Australian stock market (1999)Oil price risk and the Austra…Value-Relevance of Banks' Fair Value Disclosures under SFAS No. 107. (1996)Value-Relevance of Banks' Fai…Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991 (1996)Evidence of Bank Market Disci…Financial Reporting, Supplemental Disclosures, and Bank Share Prices (1989)Financial Reporting, Suppleme…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Efficiency of the Market for Single-Family Homes (1988)Business conditions and expected returns on stocks and bonds (1989)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)An Empirical Evaluation of Accounting Income Numbers (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)Using daily stock returns (1985)R2 around the world: New theory and new tests☆ (2005)Time Series Analysis, Forecasting and Control. (1971)Stock Returns, Real Activity, Inflation, and Money (1981)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)A Cross-Sectional Test of an Investment-Based Asset Pricing Model (1996)Financial Markets and the Real Economy (2005)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)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Formulation and estimation of stochastic frontier production function models (1977)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Cost and profit efficiency of Chinese banks: A non-parametric analysis (2007)The cost of market power in banking: Social welfare loss vs. cost inefficiency (2007)The determinants of bank profitability: empirical evidence from European banking sector (2016)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Deposit Insurance, Risk, and Market Power in Banking (1988)Market discipline and deposit insurance (2004)Measuring Abnormal Bond Performance (2008)The Determinants of Bank Capital Structure (2010)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A model for technical inefficiency effects in a stochastic frontier production function for panel data (1995)Diversification's effect on firm value (1995)Mergers and Acquisitions of Financial Institutions: A Review of the Post-2000 Literature (2009)Banks’ Non-Interest Income and Systemic Risk (2012)Bank/sovereign risk spillovers in the European debt crisis (2013)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Econometric Analysis of Cross Section and Panel Data (2001)Finance and Growth: Theory and Evidence (2004)The Political Economy of the US Mortgage Default Crisis (2010)Delayed Expected Loss Recognition and the Risk Profile of Banks (2015)Global banking stability in the shadow of Covid-19 outbreak (2021)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Common risk factors in the returns on stocks and bonds (1993)
this work references cited by second hop

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1977Asset returns and inflation2,701 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 2021Short- Term Interest Rates as Predictors of Inflation870 cited
  • 1982Inflation, real returns and capital investment477 cited

Cited by

  • 1996Evidence of Bank Market Discipline in Subordinated Debenture Yields: 1983- 1991691 cited
  • 2007Does the stock market value bank diversification?631 cited
  • 2002Cost and Profit Efficiency of Financial Conglomerates and Universal Banks in Europe467 cited
  • 2014Safer ratios, riskier portfolios: Banks׳ response to government aid460 cited
  • 1996Value-Relevance of Banks' Fair Value Disclosures under SFAS No. 107.449 cited
  • 2001CEO compensation and bank mergers446 cited
  • 2021Banking on Deposits: Maturity Transformation without Interest Rate Risk396 cited
  • 1999Oil price risk and the Australian stock market391 cited
  • 2006Does Hedging Affect Firm Value? Evidence from the US Airline Industry

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389 cited
  • 1989Financial Reporting, Supplemental Disclosures, and Bank Share Prices383 cited
  • 2006The Bank Capital Channel of Monetary Policy383 cited
  • 2006Does Recognition versus Disclosure Matter? Evidence from Value-Relevance of Banks' Recognized and Disclosed Derivative Financial Instruments377 cited
  • 2000Corporate control, bank risk taking, and the health of the banking industry322 cited
  • 2007Banking on the Equator. Are Banks that Adopted the Equator Principles Different from Non-Adopters?301 cited
  • 2014Size Anomalies in U.S. Bank Stock Returns288 cited
  • 2017“Low-For-Long” interest rates and banks’ interest margins and profitability: Cross-country evidence288 cited