Non-interest Income and U.s. Bank Stock Returns∗
نویسنده
چکیده
This paper investigates U.S. bank common stock returns and their sensitivity to market risk, interest rate risk, and illiquidity risk. Due to known problems with conducting inference using Generalized Method of Moments, I use the Empirical Likelihood Block Bootstrap established in Allen, Gregory, and Shimotsu (2004). Preliminary results suggest that once the test-statistics are bootstrapped, aggregate illiquidity is not a significant factor in explaining U.S. bank stock returns. However, bank stock returns are sensitive to illiquidity in the commercial paper market. There is also evidence of a negative relationship between market capitalization and sensitivity to illiquidity in the commercial paper market.
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