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Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note

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  • Giliberto, Michael

Abstract

Several studies used a multi-factor model to examine the interest rate sensitivity of a financial intermediary's common stock. The model was re-specified in an attempt to estimate each factor's influence. This note shows that the re-specification results in biased estimators. Hypothesis tests are flawed by failure to acknowledge the bias; this casts doubt upon the reported findings

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  • Giliberto, Michael, 1985. "Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 123-126, March.
    • Handle: RePEc:cup:jfinqa:v:20:y:1985:i:01:p:123-126_01
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