Purpose – The purpose of this study is to examine the impact of interest rates on the size and the maturity choice of a syndicated bank loan. In addition, it attempts to determine the long-run impact of a syndicated loan on the borrower's capital structure. Design/methodology/approach – The...

Purpose – This paper aims to carry out a comprehensive analysis of the influence of interest rate risk on Spanish firms at the industry level. Design/methodology/approach – The methodology employed has its origin in the two-index linear regression model proposed by Stone. This traditional...

Purpose – The purpose of this study is to investigate interest rate sensitivity of the US property/liability (P/L) insurers stock returns using various return generating process models incorporating different interest rate changes such as actual interest rate changes, unexpected interest rate...

Purpose – Using Fortune 50 company financial statements data, this paper aims to investigate the use of interest rate swaps in post-liquidity crisis. Design/methodology/approach – The paper uses Fortune 50 company financial statements data in this study. Findings – The paper finds that the...

Purpose – The purpose of this paper is to derive semi-closed-form solutions to a wide variety of interest rate derivatives prices under stochastic volatility in affine-term structure models. Design/methodology/approach –The paper first derives the Frobenius series solution to the...

Purpose - This study seeks to investigate the sensitivity of stock returns at the industry level to market, exchange rate and interest rate shocks in the four major European economies: France, Germany, Italy, and the UK. Design/methodology/approach -The paper utilises the methodology of Campbell...

Purpose – The purpose of this paper is to consider a discrete-time, Markov, regime-switching, affine term-structure model for valuing bonds and other interest rate securities. The proposed model incorporates the impact of structural changes in (macro)-economic conditions on interest-rate...

Outlines the development of duration as a risk management tool for fixed income securities, shows how it is calculated and gives examples to illustrate its use in assessing risk exposure and immunizing bond portfolio returns against interest rate risk. Cites research confirming its effectiveness...

This article uses Granger‐causality tests to study the dynamic relationship between stock returns and dividend yields in the American and Japanese equity markets. The “signaling” hypothesis of dividends along with the efficient market hypothesis is considered to : a) explain the strong...

Refers to previous research on the empirical testing of continuous time, two factor short rate interest models by Chan, Karolyi, Longstaff and Sanders (1992), Vasicek (1997) and Cox, Ingersoll and Ross (1985); and the Nowman (1997, 2000) Gaussian estimation approach. Applies these ideas to...