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Interest Rate Sensitivity and Portfolio Risk

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  • Martin, John D.
  • Keown, Arthur J.
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    Bibliographic Info

    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 12 (1977)
    Issue (Month): 02 (June)
    Pages: 181-195

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    Handle: RePEc:cup:jfinqa:v:12:y:1977:i:02:p:181-195_02

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    Cited by:
    1. Sohnke M. Bartram, 2001. "The Interest Rate Exposure of Nonfinancial Corporations," Finance 0112002, EconWPA, revised 27 Dec 2001.
    2. Jin Park & B. Paul Choi, 2011. "Interest rate sensitivity of US property/liability insurer stock returns," Managerial Finance, Emerald Group Publishing, vol. 37(2), pages 134-150, February.
    3. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology.
    4. Sadorsky, Perry, 2001. "Risk factors in stock returns of Canadian oil and gas companies," Energy Economics, Elsevier, vol. 23(1), pages 17-28, January.
    5. Pariyada Sukcharoensin, 2013. "Time-Varying Market, Interest Rate and Exchange Rate Risks of Thai Commercial Banks," Asian Academy of Management Journal of Accounting and Finance, Penerbit Universiti Sains Malaysia, vol. 9(1), pages 25-45.
    6. Jonathan A. Neuberger, 1992. "Bank holding company stock risk and the composition of bank asset portfolios," Economic Review, Federal Reserve Bank of San Francisco, pages 53-62.
    7. Sofía B. Ramos & Helena Veiga, 2009. "Risk factors in oil and gas industry returns: international evidence," Statistics and Econometrics Working Papers ws096920, Universidad Carlos III, Departamento de Estadística y Econometría.
    8. Sadorsky, Perry & Henriques, Irene, 2001. "Multifactor risk and the stock returns of Canadian paper and forest products companies," Forest Policy and Economics, Elsevier, vol. 3(3-4), pages 199-208, November.
    9. El-Sharif, Idris & Brown, Dick & Burton, Bruce & Nixon, Bill & Russell, Alex, 2005. "Evidence on the nature and extent of the relationship between oil prices and equity values in the UK," Energy Economics, Elsevier, vol. 27(6), pages 819-830, November.

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