Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note
Several studies used a multi-factor model to examine the interest rate sensitivity of a financial intermediary's common stock. The model was re-specified in an attempt to estimate each factor's influence. This note shows that the re-specification results in biased estimators. Hypothesis tests are flawed by failure to acknowledge the bias; this casts doubt upon the reported findings
Volume (Year): 20 (1985)
Issue (Month): 01 (March)
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