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

Published online by Cambridge University Press:  06 April 2009

Michael Giliberto
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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

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 20 , Issue 1 , March 1985 , pp. 123 - 126
Copyright
Copyright © School of Business Administration, University of Washington 1985

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References

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