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Systematic risk and the stock returns of financial institutions: An empirical investigation.
- Format:
- Book
- Thesis/Dissertation
- Author/Creator:
- Schini, Roberta L.
- Language:
- English
- Subjects (All):
- Banks and banking.
- Finance.
- 0508.
- 0770.
- Penn dissertations--Insurance and risk management.
- Insurance and risk management--Penn dissertations.
- Penn dissertations--Managerial science and applied economics.
- Managerial science and applied economics--Penn dissertations.
- Local Subjects:
- Penn dissertations--Insurance and risk management.
- Insurance and risk management--Penn dissertations.
- Penn dissertations--Managerial science and applied economics.
- Managerial science and applied economics--Penn dissertations.
- 0508.
- 0770.
- Physical Description:
- 241 pages
- Contained In:
- Dissertation Abstracts International 60-04A.
- System Details:
- Mode of access: World Wide Web.
- text file
- Summary:
- Using a multi-factor asset pricing model and a version of the Fama and MacBeth two-stage methodology, this paper explores the sensitivity of 54 banks and 54 life insurers to various systematic risks. Both are sensitive to changes in the term structure of interest rates and default risk with lesser sensitivity to unanticipated inflation. There is no evidence that the returns of the two institutions behave differently with respect to the tested factors. Market risk premiums are developed by utilizing all returns from NYSE, AMEX and NASDAQ. In addition, the existence of industry factors is verified and compared. Although the industry factors are established separately for banks and life insurers, there is no evidence that the factors, sensitivity to the factors or risk premium on the factors differ between the institutions. The result that these two institutions do not experience different risk/return relationships is particularly interesting in fight of current legislation in Congress which will lower the barriers to banks and life insurers merging into fully diversified financial institutions.
- Notes:
- Thesis (Ph.D. in Insurance and Risk Management) -- University of Pennsylvania, 1999.
- Source: Dissertation Abstracts International, Volume: 60-04, Section: A, page: 1218.
- Supervisor: J. David Cummins.
- Local Notes:
- School code: 0175.
- ISBN:
- 9780599259577
- Access Restriction:
- Restricted for use by site license.
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