Market Evidence on the Effective Maturity of Bank Assets and Liabilities

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Market Evidence on the Effective Maturity of Bank Assets and Liabilities

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Mark Flannery
Christopher James

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Mark Jeffrey Flannery

Abstract

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Paper provided by Wharton School Rodney L. White Center for Financial Research in its series Rodney L. White Center for Financial Research Working Papers with number 05-83.

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Handle: RePEc:fth:pennfi:05-83

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Article
- Flannery, Mark J & James, Christopher M, 1984. "Market Evidence on the Effective Maturity of Bank Assets and Liabilities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 435-45, November. [Downloadable!] (restricted)
Paper
- Mark Flannery & Christopher James, . "Market Evidence on the Effective Maturity of Bank Assets and Liabilities," Rodney L. White Center for Financial Research Working Papers 5-83, Wharton School Rodney L. White Center for Financial Research.

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Beverly Hirtle, 1997. "Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure," Journal of Financial Services Research, Springer, vol. 12(2), pages 243-266, October. [Downloadable!] (restricted)
Other versions:
- Beverly J. Hirtle, 1996. "Derivatives, Portfolio Composition and Bank Holding Company Interest Rate Risk Exposure," Center for Financial Institutions Working Papers 96-43, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
Gregory E. Sierra & Timothy J. Yeager, 2003. "What does the Federal Reserve’s economic value model tell us about interest rate risk at U.S. community banks?," Supervisory Policy Analysis Working Papers 2003-01, Federal Reserve Bank of St. Louis. [Downloadable!]
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!]
Linda Allen & Julapa Jagtiani, 1996. "Risk and Market Segmentation in Financial Intermediaries’ Returns," Center for Financial Institutions Working Papers 96-36, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
Michael C. Keeley & Gary C. Zimmerman, 1985. "Competition for money market deposit accounts," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 5-27. [Downloadable!]
L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 04/217, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
Richard Roll, 1987. "Managing Risk in Thrift Institutions: Beyond the Duration Cap," University of California at Los Angeles, Anderson Graduate School of Management 1192, Anderson Graduate School of Management, UCLA. [Downloadable!]
Linda Allen & Julapa Jagtiani, 1997. "Risk and Market Segmentation in Financial Intermediaries' Returns," Journal of Financial Services Research, Springer, vol. 12(2), pages 159-173, October. [Downloadable!] (restricted)
Penas, M.F. & Tumer-Alkan, G., 2008. "Bank Disclosure and Market Assessment of Financial Fragility: Evidence from Banks' Equity Prices," Discussion Paper 2008-013, Tilburg University, Tilburg Law and Economic Center. [Downloadable!]
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)
repec:fip:fedreq:y:1990:i:nov:p:3-17:n:v.76no.6 is not listed on IDEAS

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