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An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach

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Author Info
Lynge, Morgan J.
Zumwalt, J. Kenton
Abstract

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

Volume (Year): 15 (1980)
Issue (Month): 03 (September)
Pages: 731-742
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:cup:jfinqa:v:15:y:1980:i:03:p:731-742_00

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  1. James Gilkeson & Sylvia Hudgins & Craig Ruff, 1997. "Testing the effectiveness of regulatory interest rate risk measurement," Journal of Economics and Finance, Springer, vol. 21(2), pages 27-37, June. [Downloadable!] (restricted)
  2. 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. [Downloadable!]
  3. Barbara J. Davis & Roger M. Shelor, 1995. "Executive Compensation and Financial Performance in the Real Estate Industry," Journal of Real Estate Research, American Real Estate Society, vol. 10(2), pages 141-152. [Downloadable!]
  4. E. Dinenis, S. K. Staikouras, 1998. "Interest rate changes and common stock returns of financial institutions: evidence from the UK," European Journal of Finance, Taylor and Francis Journals, vol. 4(2), pages 113-127, June. [Downloadable!] (restricted)
  5. Edward J. Kane & Haluk Unal, 1990. "Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms," NBER Working Papers 2693, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  6. Ling He & Alan Reichert, 2003. "Time variation paths of factors affecting financial institutions and stock returns," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(1), pages 71-86, March. [Downloadable!] (restricted)
  7. Gloria M. Soto Pacheco & Cristóbal González & Laura Ballester & Román Ferrer, 2009. "Determinants of interest rate exposure of Spanish banking industry," Working Papers. Serie EC 2009-07, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  8. Benjamin Esty & Bhanu Narasimhan & Peter Tufano, 1996. "Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis," Center for Financial Institutions Working Papers 96-45, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  9. Joon-Ho Hahm, 2004. "Interest rate and exchange rate exposures of banking institutions in pre-crisis Korea," Applied Economics, Taylor and Francis Journals, vol. 36(13), pages 1409-1419, July. [Downloadable!] (restricted)
  10. Marcus T. Allen & Jeff Madura & Kenneth J. Wiant, 1995. "Commercial Bank Exposure and Sensitivity to the Real Estate Market," Journal of Real Estate Research, American Real Estate Society, vol. 10(2), pages 129-140. [Downloadable!]
  11. 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. [Downloadable!]
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