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The Pricing of Interest-Rate Risk: Evidence from the Stock Market

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Author Info
Sweeney, Richard J
Warga, Arthur D
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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 41 (1986)
Issue (Month): 2 (June)
Pages: 393-410
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Handle: RePEc:bla:jfinan:v:41:y:1986:i:2:p:393-410

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  1. Mark Grinblatt, 1989. "A Comparison of Measures of Abnormal Performance on a Sample of Monthly Mutual Fund Returns, formerly titled; The Evaluation of Mutual Fund Performance: An Analysis of Monthly Returns," University of California at Los Angeles, Anderson Graduate School of Management 1189, Anderson Graduate School of Management, UCLA. [Downloadable!]
  2. Ling T. He, & James. R. Webb & Neil Myer, 2003. "Interest Rate Sensitivities of REIT Returns," International Real Estate Review, Asian Real Estate Society, vol. 6(1), pages 1-21. [Downloadable!]
  3. Susan Ryan & Andrew C. Worthington, 2002. "Time-Varying Market, Interest Rate and Exchange Rate Risk in Australian Bank Portfolio Stock Returns: A Garch-M Approach," School of Economics and Finance Discussion Papers and Working Papers Series 112, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  4. Benjamin Esty & Bhanu Narasimhan & Peter Tufano, 1996. "Interest Rate Exposure and Bank Mergers: A Preliminary Empirical Analysis," Center for Financial Institutions Working Papers 96-45, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  5. Youguo Liang & James R. Webb, 1995. "Pricing Interest-Rate Risk for Mortgage REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 461-470. [Downloadable!]
  6. Linda Allen & Julapa Jagtiani, 1997. "Risk and Market Segmentation in Financial Intermediaries' Returns," Journal of Financial Services Research, Springer, vol. 12(2), pages 159-173, October. [Downloadable!] (restricted)
  7. Youguo Liang & Willard McIntosh & James R. Webb, 1995. "Intertemporal Changes in the Riskiness of REITs," Journal of Real Estate Research, American Real Estate Society, vol. 10(4), pages 427-444. [Downloadable!]
  8. Schüler , Martin, 2002. "The threat of systemic risk in banking : evidence for Europe," ZEW Discussion Papers 02-21, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  9. Sotiris K. Staikouras, 2005. "Equity returns of financial institutions and the pricing of interest rate risk," Applied Financial Economics, Taylor and Francis Journals, vol. 15(7), pages 499-508, April. [Downloadable!] (restricted)
  10. Marc-Gregor Czaja & Hendrik Scholz & Marco Wilkens, 2009. "Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure," Review of Quantitative Finance and Accounting, Springer, vol. 33(1), pages 1-26, July. [Downloadable!] (restricted)
  11. Jongmoo Jay Choi & Elyas Elyasiani, 1996. "Derivative Exposure and the Interest Rate and Exchange Rate Risks of U.S. Banks," Center for Financial Institutions Working Papers 96-53, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  12. Schüler , Martin & Schröder, Michael, 2003. "Systemic Risk in European Banking : Evidence from Bivariate GARCH Models," ZEW Discussion Papers 03-11, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  13. Jonathan A. Neuberger, 1992. "Bank holding company stock risk and the composition of bank asset portfolios," Economic Review, Federal Reserve Bank of San Francisco, pages 53-62. [Downloadable!]
  14. Bruce N. Lehmann, 1992. "Empirical Testing of Asset Pricing Models," NBER Working Papers 4043, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  15. Rolseth, Lars, 1998. "Adjusting Stock Market Values to Exchange Rate Exposure: The Case of ASTRA, SCA and STORA," Working Papers in Economics 6, Göteborg University, Department of Economics. [Downloadable!]
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