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

Michael Giliberto

Journal of Financial and Quantitative Analysis, 1985, vol. 20, issue 1, 123-126

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

Date: 1985
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