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Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note

Michael Giliberto
The Journal of Financial and Quantitative Analysis
Vol. 20, No. 1 (Mar., 1985), pp. 123-126
DOI: 10.2307/2330682
Stable URL: http://www.jstor.org/stable/2330682
Page Count: 4
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note
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Abstract

Several studies used a multi-factor model to examine the interest rate sensitivity of a financial intermediary's common stock. The model was re-specified in an attempt to estimate each factor's influence. This note shows that the re-specification results in biased estimators. Hypothesis tests are flawed by failure to acknowledge the bias; this casts doubt upon the reported findings.

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