Modeling Bank Stock Returns: A Factor-Based Approach

Paige Ehresmann, Juan Morelli and Jessie Wang

No 2025-06-06-3, FEDS Notes from Board of Governors of the Federal Reserve System (U.S.)

Abstract: In this note, we introduce a factor asset pricing model to analyze risk-adjusted returns on bank stocks. Given their high-frequency availability, bank stock returns offer a valuable lens into the risk exposures and dynamics of the banking sector.

Date: 2025-06-06
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfn:2025-06-06-3

DOI: 10.17016/2380-7172.3824

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