TY - JOUR
T1 - Interest-rate risk and the pricing of depository financial intermediary common stock. Empirical evidence
AU - Yourougou, Pierre
PY - 1990/10
Y1 - 1990/10
N2 - Using the likelihood ratio test, this paper presents evidence that interest-rate risk is priced. These results are consistent with earlier findings presented by Sweeney and Warga, based on a different sample and methodology. The statistical results further reveal that failure to discern significant interest-rate premia is attributable to insufficient rate sensitivity rather than being an outcome of monetary policy (i.e., inadequate rate volatility).
AB - Using the likelihood ratio test, this paper presents evidence that interest-rate risk is priced. These results are consistent with earlier findings presented by Sweeney and Warga, based on a different sample and methodology. The statistical results further reveal that failure to discern significant interest-rate premia is attributable to insufficient rate sensitivity rather than being an outcome of monetary policy (i.e., inadequate rate volatility).
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U2 - 10.1016/0378-4266(90)90077-F
DO - 10.1016/0378-4266(90)90077-F
M3 - Article
AN - SCOPUS:38249017741
SN - 0378-4266
VL - 14
SP - 803
EP - 820
JO - Journal of Banking and Finance
JF - Journal of Banking and Finance
IS - 4
ER -