(GARCH-M) methodology to investigate the effect of interest rate and its volatility on the bank stock return generation … modeling bank stock returns. The model presented here allows for shifts in the volatility equation in response to the changes … significant. Interest rate and interest rate volatility are found to directly impact the first and the second moments of the bank …

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 … important implications for policy regulators, bank managers and investing community at large. The investing community should …

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 …

bank loans to U.S. firms over the period of 1980-2003. We find that investors react positively to such announcements if the …'s headquarters state. Investor reaction is, in fact, the largest when the bank is foreign. Our evidence suggest that investors value … bank identities and reputation seem to matter a great deal …

The impact of U.S. bank loan announcements on the stock prices of the corporate borrowers has been decreasing during …

of bank relationships and their banks' participation in government capital support programs. We find that government … pronounced for riskier and bank-dependent firms and those that borrow from banks that are less capitalized and smaller. Our study …