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...

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Detalles Bibliográficos
Autores: Campos, Natalia, Jareño Cebrián, Francisco, Tolentino García-Abadillo, Marta
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
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spelling Interest rate risk analysis with multifactor modelThe US caseCampos, NataliaJareño Cebrián, FranciscoTolentino García-Abadillo, MartaInterest rate sensitivityUS stock marketSectorial analysisSize factorGrowth factorThis 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.Institute for Economic Forecasting201620162016info:eu-repo/semantics/articleapplication/pdfapplication/pdfhttp://hdl.handle.net/10578/8840reponame:RUIdeRA. Repositorio Institucional de la UCLMinstname:Universidad de Castilla-La ManchaInglésinfo:eu-repo/semantics/openAccessoai:ruidera.uclm.es:10578/88402026-05-27T07:36:41Z
dc.title.none.fl_str_mv Interest rate risk analysis with multifactor model
The US case
title Interest rate risk analysis with multifactor model
spellingShingle Interest rate risk analysis with multifactor model
Campos, Natalia
Interest rate sensitivity
US stock market
Sectorial analysis
Size factor
Growth factor
title_short Interest rate risk analysis with multifactor model
title_full Interest rate risk analysis with multifactor model
title_fullStr Interest rate risk analysis with multifactor model
title_full_unstemmed Interest rate risk analysis with multifactor model
title_sort Interest rate risk analysis with multifactor model
dc.creator.none.fl_str_mv Campos, Natalia
Jareño Cebrián, Francisco
Tolentino García-Abadillo, Marta
author Campos, Natalia
author_facet Campos, Natalia
Jareño Cebrián, Francisco
Tolentino García-Abadillo, Marta
author_role author
author2 Jareño Cebrián, Francisco
Tolentino García-Abadillo, Marta
author2_role author
author
dc.subject.none.fl_str_mv Interest rate sensitivity
US stock market
Sectorial analysis
Size factor
Growth factor
topic Interest rate sensitivity
US stock market
Sectorial analysis
Size factor
Growth factor
description 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.
publishDate 2016
dc.date.none.fl_str_mv 2016
2016
2016
dc.type.none.fl_str_mv info:eu-repo/semantics/article
format article
dc.identifier.none.fl_str_mv http://hdl.handle.net/10578/8840
url http://hdl.handle.net/10578/8840
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv Institute for Economic Forecasting
publisher.none.fl_str_mv Institute for Economic Forecasting
dc.source.none.fl_str_mv reponame:RUIdeRA. Repositorio Institucional de la UCLM
instname:Universidad de Castilla-La Mancha
instname_str Universidad de Castilla-La Mancha
reponame_str RUIdeRA. Repositorio Institucional de la UCLM
collection RUIdeRA. Repositorio Institucional de la UCLM
repository.name.fl_str_mv
repository.mail.fl_str_mv
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score 15.301629

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