Change in market assessments of deposit-institution riskiness
- Cite this article as:
- Kane, E.J. & Unal, H. J Finan Serv Res (1988) 1: 207. doi:10.1007/BF00114851
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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.