This research compares twelve different factor models in explaining variations in US sector
returns between Nov. 1989 and Feb. 2014 using the quantile regression approach …

We investigate here the sensitivity of the equity values of a large sample of German financial
institutions to movements in the term structure of interest rates. While similar approaches rely …

The current work extends and updates the previous survey (Staikouras, 2003) by looking at
other aspects of the financial institutions' yield sensitivity. The study starts with an extensive …

This study is focussed on estimating the real interest and inflation sensitivity in Spanish
market, proposing an extension of the Stone two-factor model and controlling for size and …

During the 2008 global financial crisis, financial institutions in the United States experienced
big losses, and some firms failed. These failures occurred despite the external and internal …

The interest rate sensitivity of stock returns of financial and non‐financial corporations is a
well‐known phenomenon. However, only little is known about the part of total stock returns …

We examine investor behavior under interest and inflation risk in different scenarios. To that
end, we analyze the relation between stock returns and unexpected changes in nominal and …

This paper provides evidence on the short-run reactions of an emerging financial market to
monetary policy announcements. An instrumental variable estimation approach is …

This analytical study looks to provide recommendations to the banking sector on different
policies and regulations by examining certain aspects of the Basel III accord, which was …

This study focuses on analyzing the influence of changes in 10-year nominal interest rates
on US sector returns, distinguishing two different periods, before and after the subprime …