Change in Market Assessments of Deposit-Institution Riskiness

Edward J. Kane, Haluk Unal

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:	March 1988
Authors:	Kane, Edward J.
Other Persons:	Unal, Haluk (contributor)
Institutions:	National Bureau of Economic Research (contributor)
Publisher:	Cambridge, Mass : National Bureau of Economic Research
Subject:	Bilanzstrukturmanagement \| Asset-liability management \| Bausparkasse \| Building society \| Bankinsolvenz \| Bank failure

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Extent:	1 Online-Ressource
Series:	NBER working paper series ; no. w2530
Type of publication:	Book / Working Paper
Language:	English
Notes:	Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers.
Other identifiers:	10.3386/w2530 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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