登入選單

返回Google圖書搜尋

Interest Rate Risk of European Financial Corporations

Peter Oertmann

出版	SSRN, 2000
URL	http://books.google.com.hk/books?id=BgrpzgEACAAJ&hl=&source=gbs_api

註釋

We investigate the interest rate exposure of large European financial corporations' equity returns. For the period from January 1982 to March 1995 we estimate multifactor index models to examine the sensitivity of equity returns to market index returns and domestic as well as global interest rate movements. In addition, we specify an APT-model to test whether an exposure to interest rate movements is rewarded in the cross-section of expected returns. In the four European markets both domestic and global interest rate shifts constitute driving forces of stock returns beyond the influence of the domestic market indices. However, the exposure to interest rate movements does not seem to be rewarded in the same fashion among the markets.