We investigate the interest rate exposure of large European financial corporations' equity returns. For the period from January 1982 to March 1995 we estimate multifactor index models to examine the sensitivity of equity returns to market index returns and domestic as well as global interest...

In this study, we investigate the interest rate exposure of large European financial corporations' equity returns. Our sample consists of 57 financial intermediaries listed in France, Germany, Switzerland, and the United Kingdom. We include 47 industrial stocks as a control group. For the period...