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Thrift stock returns and portfolio interest rate sensitivity

  • Lumpkin, Stephen A.
  • O'Brien, James M.
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    File URL: http://www.sciencedirect.com/science/article/B6VBW-3SWYC5H-B/2/4a0fbb912b7f447a7cbf0a7ae0d60a04
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    Article provided by Elsevier in its journal Journal of Monetary Economics.

    Volume (Year): 39 (1997)
    Issue (Month): 2 (July)
    Pages: 341-357

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    Handle: RePEc:eee:moneco:v:39:y:1997:i:2:p:341-357
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505566

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    1. French, Kenneth R & Ruback, Richard S & Schwert, G William, 1983. "Effects of Nominal Contracting on Stock Returns," Journal of Political Economy, University of Chicago Press, vol. 91(1), pages 70-96, February.
    2. Saunders, Anthony & Yourougou, Pierre, 1990. "Are banks special? The separation of banking from commerce and interest rate risk," Journal of Economics and Business, Elsevier, vol. 42(2), pages 171-182, May.
    3. Pearce, Douglas K & Roley, V Vance, 1988. " Firm Characteristics, Unanticipated Inflation, and Stock Returns," Journal of Finance, American Finance Association, vol. 43(4), pages 965-81, September.
    4. Sweeney, Richard J & Warga, Arthur D, 1986. " The Pricing of Interest-Rate Risk: Evidence from the Stock Market," Journal of Finance, American Finance Association, vol. 41(2), pages 393-410, June.
    5. Akella, Srinivas R & Greenbaum, Stuart I, 1992. "Innovations in Interest Rates, Duration Transformation, and Bank Stock Returns," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 24(1), pages 27-42, February.
    6. Edward J. Kane & Haluk Unal, 1988. "Modeling Structural and Temporal Variation in the Market's Valuation of Banking Firms," NBER Working Papers 2693, National Bureau of Economic Research, Inc.
    7. Stephen A. Lumpkin & James M. O'Brien, 1994. "Thrift stock returns and balance sheet interest rate sensitivity," Finance and Economics Discussion Series 94-29, Board of Governors of the Federal Reserve System (U.S.).
    8. Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
    9. Yourougou, Pierre, 1990. "Interest-rate risk and the pricing of depository financial intermediary common stock : Empirical evidence," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 803-820, October.
    10. Ahmed, Anwer S. & Takeda, Carolyn, 1995. "Stock market valuation of gains and losses on commercial banks' investment securities An empirical analysis," Journal of Accounting and Economics, Elsevier, vol. 20(2), pages 207-225, September.
    11. 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 1141-53, September.
    12. Brickley, James A. & James, Christopher M., 1986. "Access to deposit insurance, insolvency rules and the stock returns of financial institutions," Journal of Financial Economics, Elsevier, vol. 16(3), pages 345-371, July.
    13. Carey, Mark, 1995. "Partial market value accounting, bank capital volatility, and bank risk," Journal of Banking & Finance, Elsevier, vol. 19(3-4), pages 607-622, June.
    14. 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.
    15. 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.
    16. Bernard, Victor L., 1986. "Unanticipated inflation and the value of the firm," Journal of Financial Economics, Elsevier, vol. 15(3), pages 285-321, March.
    17. Tarhan, Vefa, 1987. "Unanticipated interest rates, bank stock returns and the nominal contracting hypothesis," Journal of Banking & Finance, Elsevier, vol. 11(1), pages 99-115, March.
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