EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS

EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Financial Research Wiley

EXPECTATIONS, INTEREST RATES, AND COMMERCIAL BANK STOCKS

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Publisher
Wiley
Copyright
© The Southern Finance Association and the Southwestern Finance Association
ISSN
0270-2592
eISSN
1475-6803
D.O.I.
10.1111/j.1475-6803.1985.tb00425.x
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

The Journal of Financial ResearchWiley

Published: Mar 1, 1985

References

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