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Τίτλος: Interest rate fluctuations and the UK financial services industry
Συγγραφείς: Artikis, Panayiotis G. 
Kalotychou, Elena 
Staikouras, Sotiris K. 
metadata.dc.contributor.other: Καλοτύχου, Έλενα
Major Field of Science: Social Sciences
Field Category: Economics and Business
Ημερομηνία Έκδοσης: 11-Σεπ-2007
Πηγή: Applied Financial Economics Letters , 2007, vol. 3, no. 5, pp. 343-347
Volume: 3
Issue: 5
Start page: 343
End page: 347
Περιοδικό: Applied Financial Economics Letters 
Περίληψη: The article explores the relationship between short-term interest rates and the equity returns of the UK financial services industry. Based on the arbitrage pricing theory, the present study seeks to answer the sensitivity and pricing questions. The former is tested with a linear two-index model attempting to identify any interest rate risk exposure of these stock returns. The latter, however, is examined using a nonlinear multivariate analysis based on the Seemingly Unrelated Regression Equations (SURE) model by imposing cross- and within-equation constraints on the estimated parameters. The econometric analysis unveils a significant negative interest rate effect and the existence of a risk premium incorporated in the expected returns of portfolios consisting of these stocks.
URI: https://hdl.handle.net/20.500.14279/14689
ISSN: 17446546
DOI: 10.1080/17446540601118319
Rights: © Taylor & Francis
Type: Article
Affiliation: University of the Piraeus 
City University London 
Publication Type: Peer Reviewed
Εμφανίζεται στις συλλογές:Άρθρα/Articles

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