Interest Rate Sensitivity of Stock Returns: Effects Across the Maturity Profile and Direction of Interest Rate Changes
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.
15 Pages Posted: 22 May 2012 Last revised: 25 Sep 2012
Date Written: May 22, 2012
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.
Keywords: interest rate sensitivity, bank stock returns, maturity profile
JEL Classification: G20, G21
Suggested Citation: Suggested Citation