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

Lim, Sokchea; Sum, Vichet; Khun, Channary

Abstract

Download This Paper | Share | Email |Add to Briefcase

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

Sokchea Lim

Cambodian Institute for Cooperation and Peace; Southern Illinois University at Carbondale

Vichet Sum

University of Maryland, Eastern Shore; University of Maryland, College Park

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, 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 Cambodian Institute for Cooperation and Peace ( email ) Phum Paung Peay, Sangkat Phnom Penh Thmey, Khan S Phnom Penh city, 12202 Cambodia HOME PAGE: http://www.cicp.org.kh
Southern Illinois University at Carbondale ( email ) 1000 Faner Drive Department of Economics Carbondale, IL Illinois 62901-4515 United States HOME PAGE: http://www.siu.edu
Vichet Sum (Contact Author) University of Maryland, Eastern Shore ( email ) 2117-A 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
University of Maryland, College Park ( email ) College Park, MD 20742 United States HOME PAGE: http://terpconnect.umd.edu/~vsum/
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

Abstract

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

Sokchea Lim

Vichet Sum

Channary Khun

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

Suggested Citation

Contact Information

Sokchea Lim

Vichet Sum (Contact Author)

Channary Khun