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The Fundamental Determinants of Risk In Banking

Rosenberg, Barr - 1978

This study is concerned with establishing the determinants of banks' exposure to risk and with predicting risk in banking. Using the COMPUSTAT data base, prediction rules have been developed for two aspects of risk: systematic risk (risk that is related to covariance with the market portfolio)...

Persistent link: https://www.econbiz.de/10012478884

The Fundamental Determinants of Risk In Banking

Rosenberg, Barr; Perry, Philip R. - National Bureau of Economic Research (NBER) - 1978

Persistent link: https://www.econbiz.de/10005084985

Abstract: The Fundamental Determinants of Risk in Banking

Rosenberg, Barr; Perry, Philip R. - In: Journal of Financial and Quantitative Analysis 13 (1978) 04, pp. 735-735

Persistent link: https://www.econbiz.de/10005139272

The time-variance relationship of security returns : implications for the return-generating stochastic process

Perry, Philip R. - In: The journal of finance : the journal of the American … 37 (1982) 3, pp. 857-870

Persistent link: https://www.econbiz.de/10002633359

Portfolio serial correlation and nonsynchronous trading

Perry, Philip R. - In: Journal of financial and quantitative analysis : JFQA 20 (1985) 4, pp. 517-523

Persistent link: https://www.econbiz.de/10001007342

The analysis of a cross section of time series by stochastically convergent parameter regression

Rosenberg, Barr - In: Annals of economic and social measurement : journal of … 2 (1973) 4, pp. 399-428

Persistent link: https://www.econbiz.de/10003675959

The distribution of the mid-range : a comment

Rosenberg, Barr - In: Econometrica : journal of the Econometric Society, an … 38 (1970) 1, pp. 176-177

Persistent link: https://www.econbiz.de/10002761275

Exra-market components of covariance in security returns

Rosenberg, Barr - In: Journal of financial and quantitative analysis : JFQA 9 (1974) 2, pp. 263-274

Persistent link: https://www.econbiz.de/10002761328

How active should a portfolio be? : the riskreward tradeoff

Rosenberg, Barr - In: Financial analysts' journal : FAJ 35 (1979) 1, pp. 49-62

Persistent link: https://www.econbiz.de/10002761385

Random coefficients models : the analysis of a cross section of time series by stochastically convergent parameter regression

Rosenberg, Barr - In: Annals of economic and social measurement : journal of … 2 (1973) 4, pp. 399-428

Persistent link: https://www.econbiz.de/10002761423