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E. Fama (1976)
Forward rates as predictors of future spot ratesJournal of Financial Economics, 3
D. Chance, W. Lane (1980)
A RE-EXAMINATION OF INTEREST RATE SENSITIVITY IN THE COMMON STOCKS OF FINANCIAL INSTITUTIONSJournal of Financial Research, 3
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JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. XIV, No. 3, September 1979, pp. COMMENT: A TEST OF STONE'S TWO-INDEX MODEL OF RETURNS
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JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS September 1977 A TEST OF STONE'S TWO-INDEX MODEL OF RETURNS
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This study examines the effect of current and expected interest rate changes on bank equity values and attempts to reconcile the conflicting findings of previous research regarding this issue. A multiple index market model of bank security returns is specified and estimated. The results confirm the existence of an interest rate effect on bank stocks that is not explained by returns on the market portfolio. In addition, bank stock returns appear to be sensitive to an interest rate forecast error.
The Journal of Financial Research – Wiley
Published: Mar 1, 1985
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