Advanced Search
MyIDEAS: Login to save this article or follow this journal

Untersuchungen zur Zinssensitivität börsennotierter Finanzdienstleister: Überblick und Diskussion alternativer Zinsfaktoren

Contents:

Author Info

  • Hendrik Scholz

    (Katholische Universität Eichstätt-Ingolstadt, Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Bankbetriebslehre, Auf der Schanz 49, D-85049 Ingolstadt)

  • Stephan Simon

    (Katholische Universität Eichstätt-Ingolstadt, Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Bankbetriebslehre, Auf der Schanz 49, D-85049 Ingolstadt)

  • Marco Wilkens

    (Katholische Universität Eichstätt-Ingolstadt, Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Bankbetriebslehre, Auf der Schanz 49, D-85049 Ingolstadt)

Registered author(s):

    Abstract

    Empirical capital-market studies on share sensitivity to interest rates – especially referring to financial service companies – regularly draw on variations of a two-factor regression model that explains returns on shares using a market and an interest-rate factor. In the literature, this fundamental approach developed by Stone (1974) is subject to a number of variations that mainly hinge on the following four variants of the interest-rate factor used in assessing share sensitivity to interest rates: i) type of interest-rate factor (changes in interest rates vs. holdingperiod returns), ii) interest-rate period to be considered in the interest-rate factor, iii) treatment of correlation between market and interest-rate factor, and iv) the method in which the changes expected in the interest-rate factor are to be treated. This article will discuss degrees of freedom in this two-factor model – especially with regard to the resulting economic and econometric implications.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 41 (2008)
    Issue (Month): 2 ()
    Pages: 239-260

    as in new window
    Handle: RePEc:kuk:journl:v:41:y:2008:i:2:p:239-260

    Contact details of provider:
    Web page: http://www.credit-and-capital-markets.de/

    Related research

    Keywords:

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:kuk:journl:v:41:y:2008:i:2:p:239-260. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Credit and Capital Markets).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.