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A new test of the relationship between regulatory change in financial markets and the stability of beta risk of depository institutions

  • Brooks, Robert D.
  • Faff, Robert W.
  • Yew, Kee Ho

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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 21 (1997)
Issue (Month): 2 (February)
Pages: 197-219

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Handle: RePEc:eee:jbfina:v:21:y:1997:i:2:p:197-219
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Smirlock, Michael, 1984. "An analysis of bank risk and deposit rate ceilings : Evidence from the capital markets," Journal of Monetary Economics, Elsevier, vol. 13(2), pages 195-210, March.
  2. Sunder, Shyam, 1980. " Stationarity of Market Risk: Random Coefficients Tests for Individual Stocks," Journal of Finance, American Finance Association, vol. 35(4), pages 883-96, September.
  3. Amoako-Adu, Ben & Smith, Brian F., 1995. "The wealth effects of deregulation of Canadian financial institutions," Journal of Banking & Finance, Elsevier, vol. 19(7), pages 1211-1236, October.
  4. Alexander, Gordon J. & Benson, P. George, 1982. "More on Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 27-36, March.
  5. Ashley, Richard, 1984. "A Simple Test for Regression Parameter Instability," Economic Inquiry, Western Economic Association International, vol. 22(2), pages 253-68, April.
  6. Brooks, R. & Faff, R., 1995. "Financial Market Deregulation and Bank Risk: Testing for Beta Instability," Papers 95-3, Melbourne - Centre in Finance.
  7. Aharony, Joseph & Saunders, Anthony & Swary, Itzhak, 1988. "The effects of DIDMCA on bank stockholders' returns and risk," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 317-331, September.
  8. Brooks, R.D. & King, M.L., 1994. "Hypothesis Testing of Varying Coefficient Regression Models: Procedures and Applications," Monash Econometrics and Business Statistics Working Papers 5/94, Monash University, Department of Econometrics and Business Statistics.
  9. Hogan, W. P. & Sharpe, I. G. & Volker, P. A., 1980. "Risk and regulation : An empirical test of the relationship," Economics Letters, Elsevier, vol. 6(4), pages 373-379.
  10. John J. Binder, 1985. "Measuring the Effects of Regulation with Stock Price Data," RAND Journal of Economics, The RAND Corporation, vol. 16(2), pages 167-183, Summer.
  11. Alexander, John Jr. & Spivey, Michael F., 1994. "CEBA of 1987 and the security returns and market risk of savings and loan institutions: a note," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1205-1215, December.
  12. Harper, Ian R & Scheit, T, 1992. "The Effects of Financial Market Deregulation on Bank Risk and Profitability," Australian Economic Papers, Wiley Blackwell, vol. 31(59), pages 260-71, December.
  13. Aharony, Joseph & Saunders, Anthony & Swary, Ithzak, 1986. "The effects of a shift in monetary policy regime on the profitability and risk of commercial banks," Journal of Monetary Economics, Elsevier, vol. 17(3), pages 363-377, May.
  14. Ohlson, James & Rosenberg, Barr, 1982. "Systematic Risk of the CRSP Equal-weighted Common Stock Index: A History Estimated by Stochastic-Parameter Regression," The Journal of Business, University of Chicago Press, vol. 55(1), pages 121-45, January.
  15. Brooks, Robert D. & Faff, Robert W. & Lee, John H. H., 1995. "Beta stability and portfolio formation," Pacific-Basin Finance Journal, Elsevier, vol. 3(1), pages 145-146, May.
  16. Unal, Haluk, 1989. "Impact of Deposit-Rate Ceiling Changes on Bank Stock Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(2), pages 206-20, May.
  17. Francis, Jack Clark & Fabozzi, Frank J., 1980. "Stability of mutual fund systematic risk statistics," Journal of Business Research, Elsevier, vol. 8(2), pages 263-275, June.
  18. Fraser, Donald R & Kolari, James W, 1990. "The 1982 Depository Institutions Act and Security Returns in the Savings and Loan Industry," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 339-47, Winter.
  19. Hogan, Warren P & Sharpe, Ian G, 1984. "Regulation, Risk and the Pricing of Australian Bank Shares, 1957-1976," The Economic Record, The Economic Society of Australia, vol. 60(168), pages 34-44, March.
  20. Bundt, Thomas P. & Cosimano, Thomas F. & Halloran, John A., 1992. "DIDMCA and bank market risk: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 16(6), pages 1179-1193, December.
  21. Mingo, John J., 1978. "The effect of deposit rate ceilings on bank risk," Journal of Banking & Finance, Elsevier, vol. 2(4), pages 367-378, December.
  22. H. Y. Izan, 1985. "Testing for Changes in Relative Risk," Australian Journal of Management, Australian School of Business, vol. 10(1), pages 39-48, June.
  23. Koehn, Michael F. & Stangle, Bruce E., 1980. "The effect of deposit-rate ceilings on bank risk: A comment," Journal of Banking & Finance, Elsevier, vol. 4(4), pages 381-386, December.
  24. Duan, Jin-Chuan & Moreau, Arthur F. & Sealey, C. W., 1992. "Fixed-rate deposit insurance and risk-shifting behavior at commercial banks," Journal of Banking & Finance, Elsevier, vol. 16(4), pages 715-742, August.
  25. Duane B. Graddy & Reuben Kyle & Thomas H. Strickland, 1994. "The Differential Effects Of Deregulation On Savings And Loan Associations And Banks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 17(2), pages 289-300, 06.
  26. Alexander, Gordon J. & Benson, P. George & Eger, Carol E., 1982. "Timing Decisions and the Behavior of Mutual Fund Systematic Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(04), pages 579-602, November.
  27. Simonds, Richard R. & LaMotte, Lynn Roy & McWhorter, Archer, 1986. "Testing for Nonstationarity of Market Risk: An Exact Test and Power Considerations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 209-220, June.
  28. Faff, R. & Brooks, R., 1996. "Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period," Papers 96-10, Melbourne - Centre in Finance.
  29. Shiers, Alden F., 1994. "Deposit insurance and banking system risk: Some empirical evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 34(4), pages 347-361.
  30. Bildersee, John S. & Roberts, Gordon S., 1981. "Beta Instability When Interest Rate Levels Change," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 375-380, September.
  31. Black, A. & Fraser, P. & Power, D., 1992. "UK unit trust performance 1980-1989: A passive time-varying approach," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 1015-1033, September.
  32. Chen, Son-Nan & Keown, Arthur J, 1981. "Risk Decomposition and Portfolio Diversification When Beta Is Nonstationary: A Note," Journal of Finance, American Finance Association, vol. 36(4), pages 941-47, September.
  33. Golbe, Devra L., 1986. "Has deregulation decreased the risk of NYSE seat ownership?," Economics Letters, Elsevier, vol. 20(3), pages 283-289.
  34. Millon-Cornett, Marcia H. & Tehranian, Hassan, 1989. "Stock market reactions to the depository institutions deregulation and monetary control act of 1980," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 81-100, March.
  35. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423.
  36. Peltzman, Sam, 1976. "Toward a More General Theory of Regulation," Journal of Law and Economics, University of Chicago Press, vol. 19(2), pages 211-40, August.
  37. Abell, John D. & Krueger, Thomas M., 1989. "Macroeconomic influences on beta," Journal of Economics and Business, Elsevier, vol. 41(2), pages 185-193, May.
  38. Collins, Daniel W & Ledolter, Johannes & Rayburn, Judy Dawson, 1987. "Some Further Evidence on the Stochastic Properties of Systematic Risk," The Journal of Business, University of Chicago Press, vol. 60(3), pages 425-48, July.
  39. Brooks, Robert D & Faff, Robert W, 1997. "Financial Deregulation and Relative Risk of Australian Industry," Australian Economic Papers, Wiley Blackwell, vol. 36(69), pages 308-20, December.
  40. Argy, Victor & Brennan, Anthony & Stevens, Glenn, 1990. "Monetary Targeting: The International Experience," The Economic Record, The Economic Society of Australia, vol. 66(192), pages 37-62, March.
  41. Kaufman, George G., 1995. "FDICIA and bank capital," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 721-722, June.
  42. Garcia, Gillian, 1995. "Implementing FDICIA's mandatory closure rule," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 723-725, June.
  43. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.
  44. Allen, Paul R & Wilhelm, William J, 1988. "The Impact of the 1980 Depository Institutions Deregulation and Monetary Control Act on Market Value and Risk: Evidence from the Capital Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 364-80, August.
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