Interest rate sensitivity and investor disagreement: How to explain bank stock turnover

Mark Iarovyi; Sasson Bar-Yosef; Itzhak Venezia

doi:10.1142/9789811269943_0061

Interest rate sensitivity and investor disagreement: How to explain bank stock turnover

Mark Iarovyi^*, Sasson Bar-Yosef, Itzhak Venezia

^*Corresponding author for this work

BA Business Department

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

Maturity mismatches (MMs) expose banks to interest rate sensitivity, adding to the uncertainty of banks' performances. Since information regarding MMs is usually not readily available, considering the high correlation between the two, interest rate sensitivities could serve as proxies to these mismatches for short periods. Therefore, we label them as implied MMs. Our analyses of the correlation between banks' interest rate sensitivity and the trading volume of the banks' equity reveal positive correlations. The heightened increase in volume suggests that implied MMs increase disagreement among banks' investors.

Original language	English
Title of host publication	Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes)
Publisher	World Scientific Publishing Co.
Pages	1961-1990
Number of pages	30
Volume	3-4
ISBN (Electronic)	9789811269943
ISBN (Print)	9789811269936
DOIs	https://doi.org/10.1142/9789811269943_0061
State	Published - 8 Apr 2024

Bibliographical note

Publisher Copyright:
© 2024 World Scientific Publishing Company. All rights reserved.

Keywords

Analysts' forecast dispersion
Interest rate sensitivity
Investors' disagreement
Maturity mismatches
Trading volume

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10.1142/9789811269943_0061

Cite this

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Interest rate sensitivity and investor disagreement: How to explain bank stock turnover. / Iarovyi, Mark; Bar-Yosef, Sasson; Venezia, Itzhak.
Handbook Of Investment Analysis, Portfolio Management, And Financial Derivatives (In 4 Volumes). Vol. 3-4 World Scientific Publishing Co., 2024. p. 1961-1990.

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

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N2 - Maturity mismatches (MMs) expose banks to interest rate sensitivity, adding to the uncertainty of banks' performances. Since information regarding MMs is usually not readily available, considering the high correlation between the two, interest rate sensitivities could serve as proxies to these mismatches for short periods. Therefore, we label them as implied MMs. Our analyses of the correlation between banks' interest rate sensitivity and the trading volume of the banks' equity reveal positive correlations. The heightened increase in volume suggests that implied MMs increase disagreement among banks' investors.

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KW - Investors' disagreement

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Interest rate sensitivity and investor disagreement: How to explain bank stock turnover

Abstract

Bibliographical note

Keywords

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