Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany
Year of publication: |
2007-07-12
|
---|---|
Authors: | Czaja, Marc-Gregor ; Scholz, Hendrik ; Wilkens, Marco |
Institutions: | Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre <Eichstätt-Ingolstadt> |
Subject: | Aktie | Benchmark | Zinsänderungsrisiko |
- 1. Introduction
- 2. Research Hypotheses
- 3. Methodology
- 3.1 The Nelson and Siegel (1987) approach to model the term structure
- 3.2 Measuring the interest rate risk exposure of bonds
- 3.3 Measuring the interest rate risk exposure of stocks
- 3.4 Construction of benchmark protfolios
- 4. Data
- 4.1 Fixed-income
- 4.2 Equities
- 5. Empirical Results
- 5.1 Bond indices
- 5.2 Industry portfolios
- 5.3 Individual companies
- 6. Summary
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