TY  - JOUR
AU  - Kane,Edward J.
AU  - Unal,Haluk
TI  - Change in Market Assessments of Deposit-Institution Riskiness
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 2530
PY  - 1988
Y2  - March 1988
UR  - http://www.nber.org/papers/w2530
L1  - http://www.nber.org/papers/w2530.pdf
N1  - Author contact info:
Edward J. Kane
2325 E Calle Los Altos
Tucson, AZ 85718
Tel: 520-299-5066
E-Mail: edward.kane@bc.edu

Haluk Unal
10809 Tara Road
Potomac, MD 20742
Tel: 240-429-7827
E-Mail: hunal@rhsmith.umd.edu
AB  - Using the Goldfeld and Quandt switching regression method, this paper investigates variability over 1975-85 in the risk components of bank and saving and loan stock. We develop evidence that the market-beta, interest-sensitivity, and residual risk of deposit-institution stock vary significantly during this period. Reassessing previous event studies in light of these findings suggests that event-study methods tend to overreach their data.
ER  -