Impact of Deposit-Rate Ceiling Changes on Bank Stock Returns
重新考察1970-80年代四次存款利率上限变化对银行系统性及非系统性风险的影响，指出简单进行事件研究的危险，并采用切换回归方法识别事件日期，发现无法将切换日期与利率上限公告关联，因此无法推断监管调整的具体效应。
This paper reexamines the impact of four major changes in deposit-rate ceilings that occurred during the 1970-80 decade on bank systematic and unsystematic risk. The reexamination clarifies why it is dangerous to conduct event studies naively. Stephen M. Goldfeld and Richard E. Quandt's switching-regressions method is proposed as a procedure that forces the researcher to take a more disciplined approach to determining event dates. Contrary to previous studies, switch dates identified by Goldfeld and Quandt's switching-regressions method cannot be associated with ceiling-change announcements because of other information flows, so that inferences cannot be drawn about the specific effects of the regulatory adjustments. Copyright 1989 by Ohio State University Press.