A simultaneous equation model is developed that jointly determines net interest margin and various maturity gaps. Using annual data for the majority of the population of insured commercial banks, this model is estimated for the years 1984 to 1987 (the only years for which repricing data were...

This study looks for the presence of rational speculative bubbles in Real Estate Investment Trusts (REITs) using unit-root, variance ratio, duration dependence and regime switching regression tests. The regime switching method provides weak evidence of speculative bubble behaviour in both the...

This article focuses on the short- and long-term assets and liabilities gap and the determinants of net interest/profit margins of both conventional banks and Islamic banks in the Organization of Islamic Cooperation countries over the period from 1997 to 2010. The results show that both...

We examine the effects of the American International Group, Inc.'s (AIG's) loss announcements and the Federal Reserve's subsequent innovation in the financial sector. Analysis of seemingly unrelated regression on the returns of four financial industries -- banking, insurance, brokerage firms and...

Facing the worst financial crisis since the Great Depression, the Federal Reserve (Fed) has responded with sweeping, unprecedented actions to aid a slowing economy and stimulate a frozen credit market. We focus on the policy changes instituted by the Fed and their wealth effects on banks,...

The paper examines the size effect reversal in the USA over the period 1970-1999, using data for the ten size deciles in the CRSP tapes during this 40-year period. Betas for small-firm portfolios increase as the return interval analysed increases, and are lower than large-firm portfolios for...

This article empirically examines the time-varying risk return relationship and the impact of institutional factors such as circuit breaker on volatility for the emerging equity market of Bangladesh [namely The Dhaka Stock Exchange (DSE)] using daily and weekly stock returns. The DSE equity...

We find a statistically significant increase in adjusted correlation between portfolio returns during the Russian financial crisis period, especially during the peak of the crisis. We also find that commercial bank and Savings & Loan Institutions (S&L) portfolios lost market value significantly...