This study investigates how bank characteristics affect bank stock reactions to changes in the federal funds rate target. Using a data set of all publicly listed banks of the United States from October 1988 through December 2007, we find that (1) the effect of changes in the federal funds rate...

In this article we find that value premium exist throughout our sample period 1998--2008. However, the predictability of Book-to-Market (B/M) ratio appears to be unrelated with financial distress risk. In fact, value stocks are less risky than growth stocks in terms of return volatility and...