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| Author: | Tai, C. |
| Title: | Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns |
| Journal: | Journal of Multinational Financial Management
2000 : SEP-DEC, VOL. 10:3/4, p. 397-420 |
| Index terms: | FINANCIAL MANAGEMENT STOCK RETURNS BANKS |
| Language: | eng |
| Abstract: | This paper examines the role of market, interest rate, and exchange rate risks in pricing a sample of the US Commercial bank stocks by developing and estimating a multi-factor model under both unconditional and conditional frameworks. Three different econometric methodologies are used to conduct the estimations and testing. Estimations based on nonlinear seemingly unrelated regression via GMM approach indicate that interest rate risk is the only priced factor in the unconditional three-factor model. |
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