Change in Market Assessments of Deposit-Institution Riskiness

41 Pages Posted: 20 Oct 2000

See all articles by Edward J. Kane

Edward J. Kane

Boston College - Department of Finance; National Bureau of Economic Research (NBER)

Haluk Unal

University of Maryland - Robert H. Smith School of Business

Date Written: March 1988

Abstract

Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.

Suggested Citation

Kane, Edward J. and Unal, Haluk, Change in Market Assessments of Deposit-Institution Riskiness (March 1988). NBER Working Paper No. w2530. Available at SSRN: https://ssrn.com/abstract=243216

Edward J. Kane (Contact Author)

Boston College - Department of Finance ( email )

Fulton Hall
Chestnut Hill, MA 02467
United States
520-299-5066 (Phone)
617-552-0431 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Haluk Unal

University of Maryland - Robert H. Smith School of Business ( email )

College Park, MD 20742-1815
United States
301-405-2256 (Phone)
301-405 0359 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
44
Abstract Views
1,324
PlumX Metrics