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The market perception of banking industry risk: A multifactor analysis

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  • Michael Isimbabi
  • Alan Tucker

Abstract

This paper analyzes the market perception of the risk of the banking industry during the 1969–89 period by using two methodologies simultaneously. The market factor and economic and industry factors (proxied by interest rate variables) of a multifactor regression model are examined in relation to industry, intra-industry, and bank-specific factors extracted using principal component analysis of bank holding company stock returns. The results provide additional insights into the market perception of bank risk beyond those provided by the market and interest rate risk models of previous studies. Copyright International Atlantic Economic Society 1997

Suggested Citation

  • Michael Isimbabi & Alan Tucker, 1997. "The market perception of banking industry risk: A multifactor analysis," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(1), pages 99-112, March.
  • Handle: RePEc:kap:atlecj:v:25:y:1997:i:1:p:99-112
    DOI: 10.1007/BF02298480
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    References listed on IDEAS

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    Cited by:

    1. Jiranyakul, Komain, 2016. "Are Thai Equity Index Returns Sensitive to Interest and Exchange Rate Risks?," MPRA Paper 71602, University Library of Munich, Germany.
    2. Dzhagityan, Eduard, 2012. "The effect of ex post risks on post-M&A performance efficiency," MPRA Paper 63147, University Library of Munich, Germany.
    3. Jin Park & B. Paul Choi, 2011. "Interest rate sensitivity of US property/liability insurer stock returns," Managerial Finance, Emerald Group Publishing, vol. 37(2), pages 134-150, January.

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