This paper empirically examines the relationship between the use of on-and-off-balance sheet derivatives and the interest rate risk of US savings associations during 1993-1997. Unlike prior studies, this analysis uses market values, not notional amounts, of all derivatives obtained from the...

Investors base asset valuation decisions on current day movements in asset and market returns. This is shown in the risk-return relationship of the simple asset pricing model using a four-way partition of daily returns. The partitioning is derived from current movements in individual asset and...