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An Intracyclical Analysis of the Risk Sensitivity of Bank Stock Returns
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An Intracyclical Analysis of the Risk Sensitivity of Bank Stock Returns (1990)An Intracyclical Analysis of the Risk Sen…The effects of a shift in monetary policy regime on the profitability and risk of commercial banks (1986)The effects of a shift in mon…Access to deposit insurance, insolvency rules and the stock returns of financial institutions (1986)Access to deposit insurance, …The association between bank stock market-based risk measures and the financial characteristics of the firm: a pooled cross-section time- series approach (1985)The association between bank …Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note (1985)Interest Rate Sensitivity in …EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS (1985)EXPECTATIONS, INTEREST RATES,…The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions (1984)The Effect of Interest Rate C…Measuring and managing interest rate risk: A primer (1984)Measuring and managing intere…An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach (1980)An Empirical Study of the Int…A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS (1980)A RE‐EXAMINATION OF INTEREST …The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model (1979)The Effects of Changing Macro…A Test of Stone's Two-Index Model of Returns (1977)A Test of Stone's Two-Index M…MARKET TESTS OF CAPITAL ADEQUACY OF LARGE COMMERCIAL BANKS (1976)MARKET TESTS OF CAPITAL ADEQU…Systematic Interest-Rate Risk in a Two-Index Model of Returns (1974)Systematic Interest-Rate Risk…Rational Expectations and the Theory of Price Movements (1961)Rational Expectations and the…A Simplified Model for Portfolio Analysis (1963)Forward rates as predictors of future spot rates (1976)An empirical analysis of bank interest rate swaps (1993)Interest rate changes and common stock returns of financial institutions: evidence from the UK (1998)Capital market reactions to the passage of the Financial Services Modernization Act of 1999 (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Ownership Structure, Deregulation, and Bank Risk Taking (1990)Do Depositors Punish Banks for Bad Behavior? 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(1979)Re-examination of interest rate sensitivity of commercial bank stock returns using a random coefficient model (1991)Strong boards, CEO power and bank risk-taking (2009)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The capital asset pricing model: Some empirical tests (1972)Intra-industry information transfers associated with earnings releases (1981)REIT Characteristics and the Sensitivity of REIT Returns (2000)The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey (2011)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)Introduction to financial forecasting (1996)Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model (1998)Proceedings of a Conference on Bank Structure and Competition. (1969)Co‐Kurtosis and Capital Asset Pricing (1997)Corporate control, bank risk taking, and the health of the banking industry (2000)Factors affecting bank risk taking: Evidence from Japan (2003)The Summation of Random Causes as the Source of Cyclic Processes (1937)The Analysis of Economic Time-Series-Part I: Prices (1953)Optimal Properties of Exponentially Weighted Forecasts (1960)The Economic Implications of Learning by Doing (1971)Econometric policy evaluation: A critique (1976)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)An Intertemporal Capital Asset Pricing Model (1973)Asset returns and inflation (1977)Risk measurement when shares are subject to infrequent trading (1979)Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking (1997)The Event Study Methodology Since 1969 (1998)
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References

  • 1961Rational Expectations and the Theory of Price Movements5,741 cited
  • 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions771 cited
  • 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns294 cited
  • 1980An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach175 cited
  • 1980A RE‐EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONS128 cited
  • 1985Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note124 cited
  • 1977A Test of Stone's Two-Index Model of Returns100 cited
  • 1985EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS95 cited
  • 1986Access to deposit insurance, insolvency rules and the stock returns of financial institutions92 cited
  • 1976MARKET TESTS OF CAPITAL ADEQUACY OF LARGE COMMERCIAL BANKS75 cited
  • 1986The effects of a shift in monetary policy regime on the profitability and risk of commercial banks68 cited
  • 1984Measuring and managing interest rate risk: A primer55 cited
  • 1979The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model21 cited
  • 1985The association between bank stock market-based risk measures and the financial characteristics of the firm: a pooled cross-section time- series approach

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