search query: @indexterm Capital asset pricing / total: 356
reference: 32 / 356
| Author: | Oertmann, Peter Rendu, Christel Zimmermann, Heinz |
| Title: | Interest rate risk of European financial corporations |
| Journal: | European Financial Management
2000 : DEC, VOL. 6:4, p. 459-478 |
| Index terms: | INTEREST RATES RISK CAPITAL ASSET PRICING PORTFOLIO MANAGEMENT |
| Language: | eng |
| Abstract: | Interest rate exposure of large European financial corporations' equity returns for the period from January 1982 to March 1995 is investigated. The authors estimate multifactor index models to examine the sensitivity of equity returns to market index returns and domestic as well as global interest rate movements. An APT-model is specified to test whether an exposure to interest rate movements is rewarded in the cross-section of expected returns. |
SCIMA