Bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three … evidence of exchange rate risk is found in both large bank and regional bank stocks in the conditional three-factor model with … conditional first and second moments of bank portfolio returns and risk factors are estimated simultaneously show strong evidence …

refrain from investing in banking stocks in times of high interest rate volatility. The bank managers may adopt policies and … sample consists of 18 commercial bank stocks comprising BANKEX listed on Bombay stock exchange. We find a negative but weak … relationship between Bank stock returns and interest rate changes in India. As expected banking stock returns exhibit significant …

This article investigates the effects of interest rates volatility on stock market returns and volatility using weekly … returns on the 15 selected public sector Banks namely Allahabad Bank, Andhra Bank, Bank of Baroda, Bank of India, Canara Bank …, Corporation Bank, Dena Bank, Indian Overseas Bank, Oriental Bank of Commerce, Punjab National Bank, State Bank of India, Syndicate …

This paper examines whether unobservable differences in firm volatility are responsible for the global loan pricing …. We analyze whether equity volatility, an error prone measure of firm volatility, can explain this difference in loan … spreads. We show that using equity volatility in OLS regressions will result in biased and inconsistent estimates of the …

recommendations. Among them, we encourage policymakers and bank owners, and managers to develop efficient interest rate risk policies …