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Commercial Bank Risk: Market, Interest Rate, And Foreign Exchange

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  • Jill L. Wetmore
  • John R. Brick

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  • 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.
    • Handle: RePEc:bla:jfnres:v:17:y:1994:i:4:p:585-596
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1994.tb00167.x
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    References listed on IDEAS

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    1. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-838, May.
    2. Stone, Bernell K., 1974. "Systematic Interest-Rate Risk in a Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(5), pages 709-721, November.
    3. Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 123-126, March.
    4. Martin, John D. & Keown, Arthur J., 1977. "Interest Rate Sensitivity and Portfolio Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(2), pages 181-195, June.
    5. Choi, Jongmoo Jay & Elyasiani, Elyas & Kopecky, Kenneth J., 1992. "The sensitivity of bank stock returns to market, interest and exchange rate risks," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 983-1004, September.
    6. Lynge, Morgan J. & Zumwalt, J. Kenton, 1980. "An Empirical Study of the Interest Rate Sensitivity of Commercial Bank Returns: A Multi-Index Approach," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(3), pages 731-742, September.
    7. Carl Quinn & Dylan Schulz, 1992. "Banking in the 1990s: challenge and change," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Oct.
    8. James H. Gilkeson & Stephen D. Smith, 1992. "The convexity trap: pitfalls in financing mortgage portfolios and related securities," Economic Review, Federal Reserve Bank of Atlanta, issue Nov, pages 14-27.
    9. Flannery, Mark J & James, Christopher M, 1984. "The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions," Journal of Finance, American Finance Association, vol. 39(4), pages 1141-1153, September.
    10. Chance, Don M., 1979. "Comment: A Test of Stone's Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(3), pages 641-644, September.
    11. Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
    12. Christie, Andrew A., 1987. "On cross-sectional analysis in accounting research," Journal of Accounting and Economics, Elsevier, vol. 9(3), pages 231-258, December.
    13. Lloyd, William P. & Shick, Richard A., 1977. "A Test of Stone's Two-Index Model of Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(3), pages 363-376, September.
    14. Don M. Chance & William R. Lane, 1980. "A Re-Examination Of Interest Rate Sensitivity In The Common Stocks Of Financial Institutions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 3(1), pages 49-55, March.
    15. Jonathan A. Neuberger, 1991. "Risk and return in banking: evidence from bank stock returns," Economic Review, Federal Reserve Bank of San Francisco, issue Fall, pages 18-30.
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