Bank efficiency and stock returns
نویسندگان
چکیده
منابع مشابه
Non-interest Income and U.s. Bank Stock Returns∗
This paper investigates U.S. bank common stock returns and their sensitivity to market risk, interest rate risk, and illiquidity risk. Due to known problems with conducting inference using Generalized Method of Moments, I use the Empirical Likelihood Block Bootstrap established in Allen, Gregory, and Shimotsu (2004). Preliminary results suggest that once the test-statistics are bootstrapped, ag...
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We analyse the temporal changes in the cross correlations of returns on the New York Stock Exchange. We show that lead-lag relationships between daily returns of stocks vanished in less than twenty years. We have found that even for high frequency data the asymmetry of time dependent cross-correlation functions has a decreasing tendency, the position of their peaks are shifted towards the origi...
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ژورنال
عنوان ژورنال: Journal of Economics and International Finance
سال: 2017
ISSN: 2006-9812
DOI: 10.5897/jeif2016.0805