Journal of Financial Services Research

, Volume 1, Issue 3, pp 207–229

Change in market assessments of deposit-institution riskiness

Authors

  • Edward J. Kane
  • Haluk Unal
Article

DOI: 10.1007/BF00114851

Cite this article as:
Kane, E.J. & Unal, H. J Finan Serv Res (1988) 1: 207. doi:10.1007/BF00114851

Abstract

Using the Goldfeld and Quandt switching regression method, this article investigates variability over 1975–1985 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.

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Copyright information

© Kluwer Academic Publishers 1988