Premium
INTEREST RATE SENSITIVITY OF BANK STOCK RETURNS: SPECIFICATION EFFECTS AND STRUCTURAL CHANGES
Author(s) -
Akella Srinivas R.,
Chen SuJane
Publication year - 1990
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1990.tb00544.x
Subject(s) - stock (firearms) , economics , econometrics , interest rate , monetary economics , financial economics , mechanical engineering , engineering
In this paper the interest rate sensitivity of bank stock returns under alternative econometric specifications and the changes in the sensitivity over time are studied. Results indicate that the sensitivity depends on the econometric specification and the period considered. Bank stock returns show a sensitivity to long‐term government security returns and innovations, but not to short‐term government security returns and innovations except under one specification. Since 1980, banks seem to have reduced their interest rate risk exposure. Finally, while long‐term returns are positively associated with stock returns, short‐term returns show a positive association only since 1980.