Reportgreen1988

Change in Market Assessments of Deposit-Institution Riskiness

156 citations0/0 files storedNational Bureau of Economic Research

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Banking stability, regulation, efficiency Financial Markets and Investment Strategies Credit Risk and Financial Regulations

Abstract

Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.

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References

1973An Intertemporal Capital Asset Pricing Model 1984The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions 1973Required Disclosure and the Stock Market: An Evaluation of the Securities Exchange Act of 1934 1974Systematic Interest-Rate Risk in a Two-Index Model of Returns 1986The Pricing of Interest-Rate Risk: Evidence from the Stock Market 1980An Analysis of Risk and Return Characteristics of Corporate Bankruptcy Using Capital Market Data 1980An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach 1986Stock Market Reaction to Regulatory Action in the Continental Illinois Crisis

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