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Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note
The Journal of Financial and Quantitative Analysis
Vol. 20, No. 1 (Mar., 1985), pp. 123-126
Published by: Cambridge University Press on behalf of the University of Washington School of Business Administration
Stable URL: http://www.jstor.org/stable/2330682
Page Count: 4
You can always find the topics here!Topics: Interest rates, Estimation bias, Common stock, Unbiased estimators, Estimators, Financial intermediaries, Estimators for the mean, Federal Reserve Bank, Banks
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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.
The Journal of Financial and Quantitative Analysis © 1985 University of Washington School of Business Administration