Change in Market Assessments of Deposit-Institution Riskiness

Edward Kane and Haluk Unal

No 2530, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.

Date: 1988-03
Note: ME
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Published as Kane, Edward J. and Haluk Unal, "Change in Market Assessments of Deposit-Institution Riskiness," from Journal of Financial Services Research, Vol. 1, No. 3, pp. 207-229, June 1988.

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