Year: 2008
Author: Scholz, Hendrik, Simon, Stephan, Wilkens, Marco
Credit and Capital Markets – Kredit und Kapital, Vol. 41 (2008), Iss. 3 : pp. 427–459
Abstract
Interest-Rate Sensitivity of Listed German Financial Service Companies: An Empirical Study
This article examines the interest-rate sensitivity of listed financial service companies in the German capital market based on the fundamental approach developed by Stone (1974). This means using a market and an interest-rate factor for explaining returns on shares, whereas empirical studies regularly apply different variants to the construction of the interest-rate factor in particular. The empirical analysis focuses on a comparison of the results of various designs of this two-factor regression model for the period from 1973 to 2003 on the basis of a uniform set of data pertaining to German financial service providers. A major influence on the results emanates from the orthogonalization variants relating to the independent variables, the interest-rate period to be considered in the interest-rate factor and the slope of the term structure of interest rates during the evaluation period. On the other hand, alternative constructions of the interest-rate factor have hardly been found to produce an effect on the results.
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/kuk.41.3.427
Credit and Capital Markets – Kredit und Kapital, Vol. 41 (2008), Iss. 3 : pp. 427–459
Published online: 2008-11
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 33
Author Details
-
Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany
Czaja, Marc-Gregor | Scholz, Hendrik | Wilkens, MarcoEuropean Financial Management, Vol. 16 (2010), Iss. 1 P.124
https://doi.org/10.1111/j.1468-036X.2008.00455.x [Citations: 21] -
Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure
Czaja, Marc-Gregor | Scholz, Hendrik | Wilkens, MarcoReview of Quantitative Finance and Accounting, Vol. 33 (2009), Iss. 1 P.1
https://doi.org/10.1007/s11156-008-0104-9 [Citations: 33]