Interest rate risk analysis with multifactor model
This study focuses on analyzing the influence of changes in 10-year nominal interest rates on US sector returns, distinguishing two different periods, before and after the subprime crisis. We run the three-factor model of Fama and French, which incorporates as explanatory factors the nominal interes...
| Autores: | , , |
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| Tipo de recurso: | artículo |
| Fecha de publicación: | 2016 |
| País: | España |
| Institución: | Universidad de Castilla-La Mancha |
| Repositorio: | RUIdeRA. Repositorio Institucional de la UCLM |
| OAI Identifier: | oai:ruidera.uclm.es:10578/8840 |
| Acceso en línea: | http://hdl.handle.net/10578/8840 |
| Access Level: | acceso abierto |
| Palabra clave: | Interest rate sensitivity US stock market Sectorial analysis Size factor Growth factor |
| Sumario: | This study focuses on analyzing the influence of changes in 10-year nominal interest rates on US sector returns, distinguishing two different periods, before and after the subprime crisis. We run the three-factor model of Fama and French, which incorporates as explanatory factors the nominal interest rate and the size and growth opportunities factors. The US sensitivity varies across sectors and periods, but we evidence a similar response to the previous literature. Finally, the “size” effect is higher than the “growth” impact. |
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