Change in Market Assessments of Deposit-Institution Riskiness / Edward J. Kane, Haluk Unal.

Format:

Book

Author/Creator:

Kane, Edward J.

Contributor:

National Bureau of Economic Research.

Unal, Haluk.

Series:

Working Paper Series (National Bureau of Economic Research) no. w2530.

NBER working paper series no. w2530

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1988.

Summary:

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.

Notes:

Print version record

March 1988.