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Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note

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Author Info
Giliberto, Michael
Abstract

Several studies used a multi-factor model to examine the interest rate sensitivity of a financial intermediary's common stock. The model was re-specified in an attempt to estimate each factor's influence. This note shows that the re-specification results in biased estimators. Hypothesis tests are flawed by failure to acknowledge the bias; this casts doubt upon the reported findings

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File URL: http://journals.cambridge.org/abstract_S0022109000011522
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Publisher Info
Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 20 (1985)
Issue (Month): 01 (March)
Pages: 123-126
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:20:y:1985:i:01:p:123-126_01

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