Change in Market Assessments of Deposit-Institution Riskiness

Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly

本文采用戈德菲尔德-匡特转换回归法（Goldfeld and Quandt switching regression method），考察了1975年至1985年间银行与储蓄贷款机构股票的风险成分波动性。本文提出的实证证据表明，存款类金融机构股票（deposit-institution stock）的市场贝塔（market-beta）、利率敏感性（interest-sensitivity）与残差风险（residual risk）均存在显著变化。