scholarly journals Interest-Rate Risk Factor and Stock Returns: A Time-Varying Factor-Loadings Model

2009 ◽  
Author(s):  
Peng Huang ◽  
C. James Hueng
Keyword(s):  
Risk Factor ◽  
Interest Rate ◽  
Stock Returns ◽  
Interest Rate Risk ◽  
Time Varying ◽  
Factor Loadings ◽  
Rate Risk

Asset pricing, time-varying risk premia and interest rate risk

1997 ◽  
Vol 21 (3) ◽  
pp. 315-335 ◽  
Author(s):  
Mark J. Flannery ◽  
Allaudeen S. Hameed ◽  
Richard H. Harjes
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Risk Premia ◽  
Interest Rate Risk ◽  
Time Varying ◽  
Rate Risk

scholarly journals PENGARUH RISIKO INFLASI, RISIKO SUKU BUNGA, RISIKO VALUTA ASING TERHADAP RETURN SAHAM

SIMAK ◽  
2021 ◽  
Vol 19 (01) ◽  
pp. 52-68
Author(s):  
Olivia Luthfiah Mufida ◽  
Gusganda Suria Manda
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Foreign Exchange ◽  
Interest Rate Risk ◽  
Negative Influence ◽  
Foreign Exchange Risk ◽  
Inflation Risk ◽  
Rate Risk ◽  
Exchange Risk ◽  
The Relationship

This research was conducted to show the importance of company managers in managing stock returns during inflation, increases in interest rates, and increases in foreign exchange rates. The purpose of this study is to analyze the effect of inflation risk, interest rate risk, and foreign exchange risk on stock returns, 2012-2019 study period. The method in this research is using multiple linear regression analysis. Techniques in conducting this research using quantitative descriptive analysis and obtained 8 companies as research samples. The results of this study indicate that inflation risk has an insignificant effect and the relationship is partially positive influence on stock returns, interest rate risk has no significant effect and partially negative influence on stock returns, foreign exchange risk has a significant effect and the relationship is negative influence significantly partial to stock returns. This research is inseparable from the limitations of the researcher. For investors and potential investors who want to invest, it is better if they pay more attention to the company's financial condition so that investors can find out whether it is feasible or not to invest in the chosen company so that investors do not experience losses.

scholarly journals Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany

2010 ◽  
Vol 16 (1) ◽  
pp. 124-154 ◽  
Author(s):  
Marc-Gregor Czaja ◽  
Hendrik Scholz ◽  
Marco Wilkens
Keyword(s):  
Interest Rate ◽  
Stock Returns ◽  
Interest Rate Risk ◽  
Rate Risk

Interest Rate Risk and the Cross Section of Stock Returns

2014 ◽  
Vol 49 (2) ◽  
pp. 483-511 ◽  
Author(s):  
Abraham Lioui ◽  
Paulo Maio
Keyword(s):  
Asset Pricing ◽  
Interest Rate ◽  
Stock Returns ◽  
Cross Section ◽  
Interest Rate Risk ◽  
Pricing Model ◽  
Nested Models ◽  
Asset Pricing Model ◽  
Rate Risk ◽  
The Cross

AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM)) and compares favorably with alternative macroeconomic models.

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