Implied Maturity Mismatches and Investor Disagreement

Mark Iarovyi, Sasson Bar Yosef () and Itzhak Venezia ()
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Sasson Bar Yosef: Hebrew University
Itzhak Venezia: Tel Aviv Yaffo Academic College

No 4507072, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: Maturity mismatches (MMs) expose banks to interest rate risk and thus add to the uncertainty and ambiguity of their performance. Given the significance of interest rate risk for banking operations, we study to what extent higher MMs and the increased ambiguity concomitant with them contribute to investor disagreement proxied by trading volume in the banks' equity. We overcome infrequency and opacity of accounting disclosures, which obscure their economic usefulness and the accurate measurements of MMs, by resorting to implied MMs, computed as stock return sensitivities to interest rate changes. We find that implied MMs are positively associated with trading volume, and that the role of returns in this relationship is minimal or null.

Keywords: Asset-liability mismatch; maturity mismatch; trading volume; investor disagreement (search for similar items in EconPapers)
JEL-codes: G12 G14 G21 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2017-04
New Economics Papers: this item is included in nep-ban
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Published in Proceedings of the Proceedings of the 7th Economics & Finance Conference, Tel Aviv, Apr 2017, pages 117-144

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Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:4507072

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