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

Marc-Gregor Czaja () and Hendrik Scholz ()
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Marc-Gregor Czaja: Catholic University of Eichstaett-Ingolstadt
Hendrik Scholz: Catholic University of Eichstaett-Ingolstadt

A chapter in Operations Research Proceedings 2006, 2007, pp 305-310 from Springer

Abstract: 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).

Keywords: Interest Rate; Stock Return; Term Structure; Excess Return; Bond Price (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/978-3-540-69995-8_50

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