Innovations in Interest Rates, Duration Transformation, and Bank Stock Returns
研究银行股票收益对利率变化的敏感度差异，构建计量框架估算资产与负债的久期错配，发现敏感度与久期转换正相关，表明银行面临利率风险。
This paper studies the cross-sectional variation in the sensitivity of bank stock returns to interest-rate innovations. An econometric framework is developed to estimate the mismatch between asset and liability durations. The innovation sensitivity is then related to duration transformation. The results indicate that banks are exposed to interest-rate risk and that the innovation sensitivity is positively related to duration transformation. Copyright 1992 by Ohio State University Press.