Open AccessPosted Content
Risk and return in banking: evidence from bank stock returns
About:
This article is published in Econometric Reviews.The article was published on 1991-01-01 and is currently open access. It has received 52 citations till now. The article focuses on the topics: Stock exchange & Bank rate.read more
Citations
More filters
Journal ArticleDOI
Accounting and capital market measures of risk: Evidence from Asian banks during 1998-2003
TL;DR: In this article, the authors examined the relation between accounting and capital market risk measures for a sample of 46 listed Asian banks during the period 1998-2003 and found that in these Asian countries, firm-specific risk is more important than systematic risk.
Journal ArticleDOI
Derivatives, Portfolio Composition, and Bank Holding Company Interest Rate Risk Exposure
TL;DR: This article examined the role played by derivatives in determining the interest rate sensitivity of bank holding companies' common stock, controlling for the influence of on-balance sheet activities and other bank-specific characteristics.
Journal ArticleDOI
Commercial bank risk: market, interest rate, and foreign exchange
Jill L. Wetmore,John R. Brick +1 more
TL;DR: This article found that interest rate risk decreases and foreign exchange risk increases with respect to unhedged foreign loan exposure, and that the results differ depending on practices of the bank (money center, superregional, or regional).
Journal ArticleDOI
Interest Rate Risk and Equity Values of Life Insurance Companies: A GARCH-M Model
TL;DR: In this paper, the authors investigated the interest rate sensitivity of monthly stock returns of life insurers based on a generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) model.
Journal ArticleDOI
Financial Intermediaries and Interest Rate Risk: II
TL;DR: In this article, the authors extended and updated the previous survey (Staikouras, 2003) by looking at other aspects of the financial institutions' yield sensitivity, including embedded options and basis risk, while shocks to the slope of the yield curve is identified as a new variable.
References
More filters
Journal ArticleDOI
Capital asset prices: a theory of market equilibrium under conditions of risk*
TL;DR: In this paper, the authors present a body of positive microeconomic theory dealing with conditions of risk, which can be used to predict the behavior of capital marcets under certain conditions.
Journal ArticleDOI
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
Journal ArticleDOI
An intertemporal capital asset pricing model
TL;DR: In this article, an intertemporal model for the capital market is deduced from portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
Journal ArticleDOI
Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.
Journal ArticleDOI
Systematic Interest-Rate Risk in a Two-Index Model of Returns
TL;DR: In the linear market-index model of the return-generating process, return on security j is given by where αj and βj are constants characteristic of company j, is return on a market index, and is the company-specific component of return such that and. The coefficient βj was given by. It has been widely accepted as a measure of nondiversifiable risk and incorporated in popular performance measures.