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Sensitivity of Stock Returns to Changes in the Term Structure of Interest Rates — Evidence from the German Market

In: Operations Research Proceedings 2006

Author

Listed:
  • Marc-Gregor Czaja

    (Catholic University of Eichstaett-Ingolstadt)

  • Hendrik Scholz

    (Catholic University of Eichstaett-Ingolstadt)

Abstract

For a long time, interest rates have been considered one of the macroeconomic factors determining stock returns. The role of interest rates in the return generating process of stocks has therefore been extensively investigated in general, but particularly so with regard to financial institutions, which are often deemed to be more sensitive to changes in interest rates than stocks from other industries. Generally, this specific sensitivity has been attributed to i.) the predominant role of financial (i.e. nominal) assets and liabilities on the balance sheets of financial intermediaries and ii.) the maturity transformation performed especially by depository institutions and the resulting maturity mismatch of assets and liabilities (see [14] for an extensive review).

Suggested Citation

  • Marc-Gregor Czaja & Hendrik Scholz, 2007. "Sensitivity of Stock Returns to Changes in the Term Structure of Interest Rates — Evidence from the German Market," Operations Research Proceedings, in: Karl-Heinz Waldmann & Ulrike M. Stocker (ed.), Operations Research Proceedings 2006, pages 305-310, Springer.
    • Handle: RePEc:spr:oprchp:978-3-540-69995-8_50
    DOI: 10.1007/978-3-540-69995-8_50
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    Cited by:

    1. Terence Tai-Leung Chong & Shiyu Lin, 2017. "Predictive models for disaggregate stock market volatility," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 261-288, August.

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