Bank Holding Company Risk from 1976-1989 with a Two-Factor Model

Matt Maher

The Financial Review, 1997, vol. 32, issue 2, 357-71

Abstract: This paper employs a two-factor model of security returns to investigate the intertemporal risk of bank holding company stock returns over the 1976-1989 period. Uniquely, the two-factor model is estimated in separate regressions for each of the fourteen years between 1976 and 1989, thus exposing intertemporal changes in the model coefficients. The results show that bank holding companies have increased in risk over the sample period and also reveal that much of the controversy over the two-index model stems from the transitory nature of the interest rate coefficient through time, making long time series groupings of data misspecified. The above holds for both short-term and long-term interest rates. Interest rates have little impact on bank returns. Copyright 1997 by MIT Press.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:finrev:v:32:y:1997:i:2:p:357-71

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0732-8516

Access Statistics for this article

The Financial Review is currently edited by Cynthia J. Campbell and Arnold R. Cowan

More articles in The Financial Review from Eastern Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().