Change in Market Assessments of Deposit-Institution Riskiness

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.

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Year of publication:	1988-03
Authors:	Kane, Edward J. ; Unal, Haluk
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	ME 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. Number 2530
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005714419