Conditional interest rate risk and the cross-section of excess stock returns

Atanasov, Victoria

PDF
rfe.pdf - Published
Restricted to Staff of the repository only
Download (292kB)

DOI:	https://doi.org/10.1016/j.rfe.2016.02.003
URL:	https://ub-madoc.bib.uni-mannheim.de/43830
Additional URL:	https://www.sciencedirect.com/science/article/pii/...
URN:	urn:nbn:de:bsz:180-madoc-438307
Document Type:	Article
Year of publication:	2016
The title of a journal, publication series:	Review of financial economics
Volume:	30
Page range:	23-32
Place of publication:	Amsterdam [u.a.]
Publishing house:	Elsevier Science
ISSN:	1058-3300
Publication language:	English
Institution:	Business School > ABWL u. Finanzierung (Theissen 2009-)
Subject:	330 Economics
Abstract:	Differences in excess stock returns can be rationalized by their sensitivities to conditional interest rate risk. Value stocks are particularly sensitive to upside movements in interest rate growth,while growth stocks react strongly to downside movements in interest rate growth. Consistent with the basic asset pricing theory, the upside interest rate risk commands a negative premium which is higher than the premium associated with the downside interest rate risk. Upside beta pertains its explanatory power after controlling for exposure to regular unconditional interest rate and various sources of financial and conditional macroeconomic risk.