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The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions

The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

The Effect of Interest Rate Changes on the Common Stock Returns of Financial Institutions

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References (18)

Publisher
Wiley
Copyright
1984 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1984.tb03898.x
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

The Journal of FinanceWiley

Published: Sep 1, 1984

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