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Change in Market Assessments of Deposit-Institution Riskiness

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Author Info
Edward J. Kane
Haluk Unal
Abstract

Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 2530.

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Date of creation: Mar 1988
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Handle: RePEc:nbr:nberwo:2530

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  1. Rebecca S. Demsetz & Philip E. Strahan, 1995. "Diversification, size, and risk at bank holding companies," Research Paper 9506, Federal Reserve Bank of New York. [Downloadable!]
  2. 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)
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  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. [Downloadable!]
  4. Aigbe Akhigbe & Jeff Madura, 2004. "Bank acquisitions of security firms: the early evidence," Applied Financial Economics, Taylor and Francis Journals, vol. 14(7), pages 485-496, April. [Downloadable!] (restricted)
  5. Jill Wetmore & Chiaku Ndu, 2006. "Mortgage Refinancing Activity: An Explanation [1990–2001]," The Journal of Real Estate Finance and Economics, Springer, vol. 33(1), pages 75-86, August. [Downloadable!] (restricted)
  6. Alan Hess & Kirati Laisathit, 1997. "A Market-based Risk Classification of Financial Institutions," Journal of Financial Services Research, Springer, vol. 12(2), pages 133-158, October. [Downloadable!] (restricted)
  7. Sohnke M. Bartram, 2001. "The Interest Rate Exposure of Nonfinancial Corporations," Finance 0112002, EconWPA, revised 27 Dec 2001. [Downloadable!]
  8. David Ely & Kenneth Robinson, 2003. "Is the Community Reinvestment Act in Need of Further Reform? Evidence from Equity Markets during the 1995 Reform Process," Journal of Financial Services Research, Springer, vol. 23(1), pages 59-78, February. [Downloadable!] (restricted)
  9. John Wagster, 1999. "The Basle Accord of 1988 and the International Credit Crunch of 1989–1992," Journal of Financial Services Research, Springer, vol. 15(2), pages 123-143, March. [Downloadable!] (restricted)
  10. Stephen Prowse, 1995. "Alternative methods of corporate control in commercial banks," Working Papers 95-07, Federal Reserve Bank of Dallas. [Downloadable!]
  11. Youguo Liang & Willard McIntosh & James R. Webb, 1995. "Intertemporal Changes in the Riskiness of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 427-444. [Downloadable!]
  12. Don Bredin & Gerard O’Reilly & Simon Stevenson, 2007. "Monetary Shocks and REIT Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 35(3), pages 315-331, October. [Downloadable!] (restricted)
  13. Eric Wong & Jim Wong & Phyllis Leung, 2008. "The Foreign Exchange Exposure of Chinese Banks," Working Papers 0807, Hong Kong Monetary Authority. [Downloadable!]
  14. Mark Spiegel & Nobuyoshi Yamori, 2001. "The impact of Japan's financial stabilization laws on bank equity values," Pacific Basin Working Paper Series 01-07, Federal Reserve Bank of San Francisco. [Downloadable!]
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  15. Rebecca S. Demsetz & Marc R. Saidenberg & Philip E. Strahan, 1997. "Agency problems and risk taking at banks," Staff Reports 29, Federal Reserve Bank of New York. [Downloadable!]
  16. Michael Isimbabi & Alan Tucker, 1997. "The market perception of banking industry risk: A multifactor analysis," Atlantic Economic Journal, International Atlantic Economic Society, vol. 25(1), pages 99-112, March. [Downloadable!] (restricted)
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