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Change in Market Assessments of Deposit-Institution Riskiness

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  • Edward J. Kane
  • Haluk Unal

Abstract

Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.

Suggested Citation

  • Edward J. Kane & Haluk Unal, 1988. "Change in Market Assessments of Deposit-Institution Riskiness," NBER Working Papers 2530, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:2530
    Note: ME
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