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A Re-Examination Of Interest Rate Sensitivity In The Common Stocks Of Financial Institutions

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Cited by:

  1. James R. Booth & Dennis T. Officer, 1985. "Expectations, Interest Rates, And Commercial Bank Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(1), pages 51-58, March.
  2. James Gilkeson & Sylvia Hudgins & Craig Ruff, 1997. "Testing the effectiveness of regulatory interest rate risk measurement," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(2), pages 27-37, June.
  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.
  4. repec:zbw:bofrdp:2002_015 is not listed on IDEAS
  5. Ling He & Alan Reichert, 2003. "Time variation paths of factors affecting financial institutions and stock returns," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 31(1), pages 71-86, March.
  6. Pathan, Shams, 2009. "Strong boards, CEO power and bank risk-taking," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1340-1350, July.
  7. Wetmore, Jill L. & Brick, John R., 1998. "The Basis Risk Component of Commercial Bank Stock Returns," Journal of Economics and Business, Elsevier, vol. 50(1), pages 67-76, January.
  8. Akhigbe, Aigbe & Whyte, Ann Marie, 2001. "The impact of FDICIA on bank returns and risk: Evidence from the capital markets," Journal of Banking & Finance, Elsevier, vol. 25(2), pages 393-417, February.
  9. Hasan, Iftekhar & Sudipto, Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Bank of Finland Research Discussion Papers 15/2002, Bank of Finland.
  10. Adjaoud, Fodil & Rahman, Abdul, 1996. "A note on the temporal variability of Canadian financial services stock returns," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 165-177, January.
  11. Mohamed Ariff & Asjeet S. Lamba, 2006. "The Valuation Effects of Prime Rate Revisions: Is There an Advantage of Being First?," International Review of Finance, International Review of Finance Ltd., vol. 6(3‐4), pages 177-194, September.
  12. Go Tamakoshi & Shigeyuki Hamori, 2014. "Causality-in-variance and causality-in-mean between the Greek sovereign bond yields and Southern European banking sector equity returns," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 38(4), pages 627-642, October.
  13. Akhtaruzzaman, Md & Shamsuddin, Abul & Easton, Steve, 2014. "Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 378-396.
  14. Elyasiani, Elyas & Mansur, Iqbal, 1998. "Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 535-563, May.
  15. Xiangnan Meng & Xin Deng, 2013. "Interest Rate and Foreign Exchange Sensitivity of Bank Stock Returns: Evidence from China," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 77-106, March - J.
  16. Theodor Kohers & Robert Nagy, 1991. "An Examination Of The Interest Rate Sensitivity Of Commercial Bank Stock," Review of Financial Economics, John Wiley & Sons, vol. 1(1), pages 23-34, September.
  17. Brian Du, 2020. "Securitized banking and interest rate sensitivity," Review of Quantitative Finance and Accounting, Springer, vol. 54(3), pages 851-876, April.
  18. 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.
  19. Kane, Edward J & Unal, Haluk, 1990. "Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms," Journal of Finance, American Finance Association, vol. 45(1), pages 113-136, March.
  20. PRITI Verma, 2016. "The Impact Of Exchange Rates And Interest Rates On Bank Stock Returns: Evidence From U.S. Banks," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 11(1), pages 124-139, April.
  21. Alexey Akimov & Simon Stevenson & Maxim Zagonov, 2015. "Public Real Estate and the Term Structure of Interest Rates: A Cross-Country Study," The Journal of Real Estate Finance and Economics, Springer, vol. 51(4), pages 503-540, November.
  22. Carmichael, Benoît & Coën, Alain, 2020. "Real estate as a common risk factor in the financial sector: International evidence," Finance Research Letters, Elsevier, vol. 32(C).
  23. Weis Christian & René-Ojas Woltering & Steffen Sebastian, 2017. "The Interest Rate Sensitivity of Value and Growth Stocks - Evidence from Listed Real Estate," ERES eres2017_325, European Real Estate Society (ERES).
  24. Jill L. Wetmore & John R. Brick, 1994. "Commercial Bank Risk: Market, Interest Rate, And Foreign Exchange," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(4), pages 585-596, December.
  25. Elijah Brewer & William E. Jackson & James T. Moser, 2001. "The value of using interest rate derivatives to manage risk of U.S. banking organizations," Economic Perspectives, Federal Reserve Bank of Chicago, vol. 25(Q III), pages 49-66.
  26. E. Dinenis & S. K. Staikouras, 1998. "Interest rate changes and common stock returns of financial institutions: evidence from the UK," The European Journal of Finance, Taylor & Francis Journals, vol. 4(2), pages 113-127.
  27. Srinivas R. Akella & Su-Jane Chen, 1990. "Interest Rate Sensitivity Of Bank Stock Returns: Specification Effects And Structural Changes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(2), pages 147-154, June.
  28. Chiuling Lu & Raymond So, 2005. "Return Relationships between Listed Banks and Real Estate Firms: Evidence from Seven Asian Economies," The Journal of Real Estate Finance and Economics, Springer, vol. 31(2), pages 189-206, September.
  29. Aloui Mouna & Jarboui Anis, 2017. "Stock Market, Interest Rate and Exchange Rate Risk Effects on non Financial Stock Returns During the Financial Crisis," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 8(3), pages 898-915, September.
  30. Iftekhar Hasan & Sudipto Sarkar, 2002. "Banks' option to lend, interest rate sensitivity, and credit availability," Review of Derivatives Research, Springer, vol. 5(3), pages 213-250, October.
  31. Kasman, Saadet & Vardar, Gülin & Tunç, Gökçe, 2011. "The impact of interest rate and exchange rate volatility on banks' stock returns and volatility: Evidence from Turkey," Economic Modelling, Elsevier, vol. 28(3), pages 1328-1334, May.
  32. Akhigbe, Aigbe & Whyte, Ann Marie, 2003. "Changes in market assessments of bank risk following the Riegle-Neal Act of 1994," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 87-102, January.
  33. Shams Pathan & Mamiza Haq & Barry Williams, 2016. "Does skin in the game help? Bank franchise value, managerial incentives and ‘going for broke’," Australian Journal of Management, Australian School of Business, vol. 41(2), pages 271-298, May.
  34. Carmichael, Benoît & Coën, Alain, 2018. "Real estate as a common risk factor in bank stock returns," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 118-130.
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