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Interest Rate Sensitivity and Investor Disagreement: How to Explain Bank Stock Turnover

In: Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes

Author

Listed:
  • Mark Iarovyi
  • Sasson Bar-Yosef
  • Itzhak Venezia

Abstract

Maturity mismatches (MMs) expose banks to interest rate sensitivity, adding to the uncertainty of banks’ performances. Since information regarding MMs is usually not readily available, considering the high correlation between the two, interest rate sensitivities could serve as proxies to these mismatches for short periods. Therefore, we label them as implied MMs. Our analyses of the correlation between banks’ interest rate sensitivity and the trading volume of the banks’ equity reveal positive correlations. The heightened increase in volume suggests that implied MMs increase disagreement among banks’ investors.

Suggested Citation

  • Mark Iarovyi & Sasson Bar-Yosef & Itzhak Venezia, 2024. "Interest Rate Sensitivity and Investor Disagreement: How to Explain Bank Stock Turnover," World Scientific Book Chapters, in: Cheng Few Lee & Alice C Lee & John C Lee (ed.), Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives In 4 Volumes, chapter 61, pages 1961-1990, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811269943_0061
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    Keywords

    Financial Accounting; Financial Auditing; Mutual Funds; Hedge Funds; Asset Pricing; Options; Portfolio Analysis; Risk Management; Investment Analysis; Momentum Analysis; Behavior Analysis; Futures; Index Futures; CDCs; Financial Econometrics; Statistics; Financial Derivatives; Financial Accounting;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G1 - Financial Economics - - General Financial Markets
    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • M42 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Auditing
    • G3 - Financial Economics - - Corporate Finance and Governance

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