The Pricing of Interest-Rate Risk: Evidence from the Stock Market
用双因子套利定价模型检验企业是否需为投资者承担的利率变动风险支付事前溢价，发现多数利率敏感股票来自公用事业行业，且利率因子在APT意义下被定价。
This paper addresses the issue of whether firms are required to pay an ex ante premium to investors for bearing the risk of interest-rate changes. A two-factor APT model with the market and changes in the yield on long-term government bonds as factors is employed. The paper shows that, empirically, most of the interest-sensitive stocks are in the utility industries, and that there is reasonable evidence that the interest factor is priced in the sense of the APT. Several sources for the interest sensitivity are considered, and regulatory lags are focused on as a likely candidate.