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Implied Maturity Mismatches and Investor Disagreement

Author

Listed:
  • Mark Iarovyi

    (Bocconi University)

  • sasson Bar Yosef

    (Hebrew University)

  • Itzhak Venezia

    (Tel Aviv Yaffo Academic College)

Abstract

Maturity mismatches (MMs) expose banks to interest rate risk and thus add to the uncertainty and ambiguity of their performance. Given the significance of interest rate risk for banking operations, we study to what extent higher MMs and the increased ambiguity concomitant with them contribute to investor disagreement proxied by trading volume in the banks' equity. We overcome infrequency and opacity of accounting disclosures, which obscure their economic usefulness and the accurate measurements of MMs, by resorting to implied MMs, computed as stock return sensitivities to interest rate changes. We find that implied MMs are positively associated with trading volume, and that the role of returns in this relationship is minimal or null.

Suggested Citation

  • Mark Iarovyi & sasson Bar Yosef & Itzhak Venezia, 2017. "Implied Maturity Mismatches and Investor Disagreement," Proceedings of Economics and Finance Conferences 4507072, International Institute of Social and Economic Sciences.
    • Handle: RePEc:sek:iefpro:4507072
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    More about this item

    Keywords

    Asset-liability mismatch; maturity mismatch; trading volume; investor disagreement;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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