This paper documents evidence on the efficacy of maturity gap disclosures and interest rate risk policy disclosures of commercial bank holding companies in indicating their interest rate risk exposures. Using data from the Federal Reserve Y-9 reports over 1991-1996, we find a significant...

This paper examines the extent to which bank holding companies trade-off the use of investment securities and interest rate swaps when managing interest rate risk inherent in their core business. We find that both securities and swaps are used to hedge interest rate risk and that these two types...

Recent research has generated renewed interest in the relation between accounting information and stock returns. Ou and Penman (1989) develop a trading strategy based on financial statement analysis. Fama and French (1992) conclude that firm size and book-to-market equity explain variability in...