Access the full text.
Sign up today, get DeepDyve free for 14 days.
M. Flannery, C. James (1984)
Market Evidence on the Effective Maturity of Bank Assets and LiabilitiesJournal of Money, Credit and Banking, 16
E. Dimson (1979)
Risk measurement when shares are subject to infrequent tradingJournal of Financial Economics, 7
R. Merton (1973)
AN INTERTEMPORAL CAPITAL ASSET PRICING MODELEconometrica, 41
A. Zellner (1962)
An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation BiasJournal of the American Statistical Association, 57
Christie (December 1981)
The Stochastic Behavior of Common Stock Variances: Value, Leverage and Interest Rate Effects.Journal of Financial Economics
M. Flannery (1982)
Retail Bank Deposits as Quasi-Fixed Factors of ProductionThe American Economic Review, 72
H. Fogler, Kose John, J. Tipton (1981)
Three Factors, Interest Rate Differentials and Stock GroupsJournal of Finance, 36
Michael Keran (1976)
Inflation, Regulation, and Utility Stock PricesThe Bell Journal of Economics, 7
Andrew Christie (1982)
The stochastic behavior of common stock variances: value
K. French, Richard Ruback, William Schwert (1983)
Effects of Nominal Contracting on Stock ReturnsJournal of Political Economy, 91
E. Fama, M. Gibbons (1982)
Inflation, real returns and capital investmentJournal of Monetary Economics, 9
M. Grove (1974)
On "Duration" and the Optimal Maturity Structure of the Balance SheetThe Bell Journal of Economics, 5
E. Fama, G. Schwert (1977)
Asset returns and inflationJournal of Financial Economics, 5
M. Goldberg, D. Hester, J. Pierce (1976)
Bank Management and Portfolio Behavior.Journal of the American Statistical Association, 71
E. Fama (1976)
Inflation Uncertainty and Expected Returns on Treasury BillsJournal of Political Economy, 84
C. Nelson, G. Schwert (1977)
On testing the hypothesis that the real rate of interest is constant
Michael Hopewell, G. Kaufman (1973)
Bond Price Volatility and Term to Maturity: A Generalized RespecificationThe American Economic Review, 63
E. Fama (1975)
Short-Term Interest Rates as Predictors of InflationThe American Economic Review, 65
ABSTRACT This paper examines the relation between the interest rate sensitivity of common stock returns and the maturity composition of the firm's nominal contracts. Using a sample of actively traded commerical banks and stock savings and loan associations, common stock returns are found to be correlated with interest rate changes. The co‐movement of stock returns and interest rate changes is positively related to the size of the maturity difference between the firm's nominal assets and liabilities.
The Journal of Finance – Wiley
Published: Sep 1, 1984
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.