Interest Rate Sensitivity in the Common Stocks of Financial Intermediaries: A Methodological Note
指出，在估计金融中介普通股利率敏感性的多因子模型中，一种重新设定会导致估计量有偏，忽视该偏误的假设检验结果存疑。
Several studies used a multi-factor model to examine the interest rate sensitivity of a finan? cial intermediary's common stock. The model was re-specified in an attempt to estimate each factor's influence. This note shows that the re-specification results in biased estima? tors. Hypothesis tests are flawed by failure to acknowledge the bias; this casts doubt upon the reported findings.