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Zinssensitivitäten börsennotierter deutscher Finanzdienstleister: Eine empirische Untersuchung

  • Hendrik Scholz

    (Katholische Universität Eichstätt-Ingolstadt, Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Bankbetriebslehre, Auf der Schanz 49, D-85049 Ingolstadt)

  • Stephan Simon

    (Katholische Universität Eichstätt-Ingolstadt, Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Bankbetriebslehre, Auf der Schanz 49, D-85049 Ingolstadt)

  • Marco Wilkens

    (Katholische Universität Eichstätt-Ingolstadt, Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzierung und Bankbetriebslehre, Auf der Schanz 49, D-85049 Ingolstadt)

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    This article examines the interest-rate sensitivity of listed financial service companies in the German capital market based on the fundamental approach developed by Stone (1974). This means using a market and an interest-rate factor for explaining returns on shares, whereas empirical studies regularly apply different variants to the construction of the interest-rate factor in particular. The empirical analysis focuses on a comparison of the results of various designs of this two-factor regression model for the period from 1973 to 2003 on the basis of a uniform set of data pertaining to German financial service providers. A major influence on the results emanates from the orthogonalization variants relating to the independent variables, the interest-rate period to be considered in the interest-rate factor and the slope of the term structure of interest rates during the evaluation period. On the other hand, alternative constructions of the interest-rate factor have hardly been found to produce an effect on the results.

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    Article provided by Credit and Capital Markets in its journal Kredit und Kapital.

    Volume (Year): 41 (2008)
    Issue (Month): 3 ()
    Pages: 427–459

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    Handle: RePEc:kuk:journl:v:41:y:2008:i:3:p:427-459
    Contact details of provider: Web page: http://www.credit-and-capital-markets.de/

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