Journal ArticleDOI
The sensitivity of bank stock returns to market, interest and exchange rate risks
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In this paper, a model of the optimizing behavior of an international banking firm is used to derive the sensitivity coefficients of the alternative factors, including market return, interest rate and exchange rate risk factors.Abstract:
This paper presents and estimates a multifactor model of bank stock returns that incorporates market return, interest rate and exchange rate risk factors. A model of the optimizing behavior of an international banking firm is used to derive the sensitivity coefficients of the alternative factors. Regression equations are estimated that are based on either actual or unexpected values of the underlying factors with a post-October 1979 time dummy variable and with a money-center bank dummy variable. Standard results are obtained for the market and interest rate variables while new results are derived for the exchange rate variable. The specific effects of the latter variable are found to be dependent on the time period of observation and the money-center status of banks.read more
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Does the Stock Market Value Bank Diversification
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Journal ArticleDOI
Does the stock market value bank diversification
TL;DR: In this paper, the authors investigated whether or not functionally diversified banks have a comparative advantage in terms of long-term performance/risk profile compared to their specialized competitors, using market-based measures of return potential and bank risk.
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Journal ArticleDOI
Sensitivity of the bank stock returns distribution to changes in the level and volatility of interest rate: A GARCH-M model
Elyas Elyasiani,Iqbal Mansur +1 more
TL;DR: The authors employed the generalized autoregressive conditionally heteroskedastic in the mean (GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation process.
References
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