This paper examines the sensitivity of financial sector stock returns to two risk factors – interest rates (both long-term and short-term) and exchange rates. Specifically we investigate the impact of the European Union and the introduction of the euro on European financial sector risk in the...

We investigate bank capital, charter value, off-balance sheet activities, dividend payout ratio and size as determinants of bank equity risk (systematic risk, total risk, interest rate risk and idiosyncratic risk) and credit risk. Using information for 117 financial institutions across 15...

We examine changes in bank equity risk following the formation of the Economic Monetary Union (EMU) in 1999. With the exception of Germany, we observe a decline in bank risk across euro-zone countries. Total risk decreased for 70% of the euro-zone banks in our sample with a statistically...