Zinssensitivitäten börsennotierter deutscher Finanzdienstleister: Eine empirische Untersuchung

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

“…Evidence for the German market is rather scarce. While Oertmann et al (2000) do not confirm the results presented for the US market, Scholz et al (2008), investigating a much longer sample, also find evidence of German insurances being more sensitive to changes in the term structure than banks.…”

“…Although some authors find no or at the most weak evidence of this interest rate sensitivity and assume this finding to result in part from a prevalent use of interest rate risk management tools (see, e.g., Allen and Jagtiani, 1997, and Maher, 1997), a significant interest rate sensitivity has been mostly confirmed in other recent empirical studies. These include Madura and Zarruk (1995), Oertmann et al (2000), and Bessler and Murtagh (2004), who compare the interest rate sensitivity of financial institutions in an international context; Faff and Howard (1999) for Australia; Dinenis and Staikouras (1998, 2000) for the UK; Elyasiani and Mansur (1998, 2004), Tai (2000), Fraser et al (2002), and Brewer et al (2007) for the USA, and, for the German stock market also investigated in this paper, Bartram (2002), Bessler and Opfer (2003, 2005), Behr and Sebastian (2006), and Scholz et al (2008).…”

“…Other studies including, e.g., Bessler and Murtagh (2004) employ bond returns as the interest rate factor. While this approach to specify the interest rate factor does not allow one to interpret the regression coefficient in terms of duration, Scholz et al . (2008) demonstrate that it leads to a similar – though differently defined − assessment of the interest rate risk of the investigated stock.…”

Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure

“…7 b i;M can be interpreted as the sensitivity to general market risk excluding influences of term structure changes and b i,0 is a constant. Since the auxiliary 5 Scholz et al (2008) compare the results of a two-factor model with the interest rate factor specified as either bond holding period returns of a given maturity or, more directly, as changes in the interest rate of the corresponding maturity. In terms of variance explained and also with respect to the significance of the estimated coefficients, their results are very similar for both alternatives.…”

“…In both cases, interest rate risk is measured as an asset's sensitivity to a single interest rate factor. Most recent contributions using variants of this approach include Madura and Zarruk (1995), Oertmann et al (2000), and Elyasiani and Mansur (2003) who compare the interest rate sensitivity of financial institutions in an international context; Faff and Howard (1999) for Australia; Staikouras (1998, 2000) for the UK; Mansur (1998, 2004), Tai (2000), Fraser et al (2002), and Brewer et al (2007) for the US, and, most relevant in the context of this study, Bartram (2002), Bessler and Opfer (2005), and Scholz et al (2008) who provide an investigation of German financial and non-financial corporations.…”