Change in Market Assessments of Deposit-Institution Riskiness

41 Pages Posted: 20 Oct 2000 Last revised: 2 Dec 2022

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
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National Bureau of Economic Research (NBER)

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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)

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