Abstract

http://ssrn.com/abstract=2064948
 


 



Interest Rate Sensitivity of Stock Returns: Effects Across the Maturity Profile and Direction of Interest Rate Changes


Sokchea Lim


John Carroll University - Department of Economics & Finance

Vichet Sum


University of Maryland Eastern Shore - School of Business and Technology

Channary Khun


Southern Illinois University at Carbondale

May 22, 2012

Lim, S., Sum, V., & Khun, C. (2012). Interest rate sensitivity of stock returns: Effects across the maturity profile and direction of interest rate changes. International Research Journal of Applied Finance, 3(8), 1151-1162.

Abstract:     
The paper re-examines the effect of unanticipated interest rate changes on bank stock returns of 14 U.S. largest bank holding companies across the maturity profile and across the two directions of interest rate changes. The evidence indicates that fluctuations in commercial bank stock prices are significantly associated with unanticipated interest rate changes and bank stock return interest rate sensitivity is related to the balance sheet composition. However, the results provide little evidence that supports the asymmetry of interest rate sensitivity across the direction of unanticipated changes being positive or negative.

Number of Pages in PDF File: 15

Keywords: interest rate sensitivity, bank stock returns, maturity profile

JEL Classification: G20, G21

Accepted Paper Series


Download This Paper

Date posted: May 22, 2012 ; Last revised: September 25, 2012

Suggested Citation

Lim, Sokchea and Sum, Vichet and Khun, Channary, Interest Rate Sensitivity of Stock Returns: Effects Across the Maturity Profile and Direction of Interest Rate Changes (May 22, 2012). Lim, S., Sum, V., & Khun, C. (2012). Interest rate sensitivity of stock returns: Effects across the maturity profile and direction of interest rate changes. International Research Journal of Applied Finance, 3(8), 1151-1162. . Available at SSRN: http://ssrn.com/abstract=2064948

Contact Information

Sokchea Lim
John Carroll University - Department of Economics & Finance ( email )
University Heights, OH 44118
United States
Vichet Sum (Contact Author)
University of Maryland Eastern Shore - School of Business and Technology ( email )
2105 Kiah Hall
Princess Anne, MD 21853
United States
410-651-6531 (Phone)
410-651-6529 (Fax)
HOME PAGE: http://www.umes.edu/bma/Sum.html
Channary Khun
Southern Illinois University at Carbondale ( email )
Rehn Hall - Mail Code 4626
Carbondale, IL Illinois 62901-4515
United States
HOME PAGE: http://www.siu.edu
Feedback to SSRN


Paper statistics
Abstract Views: 521
Downloads: 107
Download Rank: 148,254

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo3 in 0.468 seconds