Hostname: page-component-848d4c4894-4rdrl Total loading time: 0 Render date: 2024-06-16T22:45:04.007Z Has data issue: false hasContentIssue false
  • English
  • Français

Interest Rate Sensitivity and Portfolio Risk

Published online by Cambridge University Press:  19 October 2009

John D. Martin  and
Arthur J. Keown
Get access Rights & Permissions [Opens in a new window]

Extract

Since its inception the single-index market model has been the subject of a large body of theoretical and empirical research. This study deals with the very difficult issue surrounding the practical implementation of the model in portfolio analysis where significant, nonmarket sources of covariation in security returns are believed to be present.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 12 , Issue 2 , June 1977 , pp. 181 - 195
Copyright
Copyright © School of Business Administration, University of Washington 1977

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Campanella, Frank. The Measurement and Use of Portfolio Systematic Risk. Lexington, Mass.: D. C. Heath and Company (1972).Google Scholar
[2]Elton, Edwin J., and Gruber, Martin J.. “Estimating the Dependence Structure of Share Prices-Implications for Portfolio Selection.” Journal of Finance, Vol. 28 (December 1973), pp. 1203–1232.Google Scholar
[3]Evans, John L., and Archer, Stephen H.. “Diversification and the Reduction of Dispersion: An Empirical Analysis.” Journal of Finance, Vol. 23 (December 1968), pp. 761–767.Google Scholar
[4]Farrell, James L. Jr. “Analyzing Covariation of Return to Determine Homogeneous Stock Groupings.” The Journal of Business of the University of Chicago, Vol. 47, No. 2 (April 1974), pp. 186–207.Google Scholar
[5]Fisher, Lawrence. “Some New Stock-Market Indexes.” The Journal of Business of the University of Chicago (January 1965), pp. 191–225.Google Scholar
[6]King, Benjamin F. “Market and Industry Factors in Stock Price Behavior.” The Journal of Business of the University of Chicago, Vol. 39, No. 1, Part II (January 1966), pp. 139–160.Google Scholar
[7]King, Benjamin F. “Step-Wise Clustering Procedures.” Journal of the American Statistical Association, Vol. 62 (1967), pp. 79–85.CrossRefGoogle Scholar
[8]Klemkosky, Robert C., and Martin, John D.. “The Effect of Market Risk on Portfolio Diversification.” Journal of Finance, Vol. 30, No. 1 (March 1975), pp. 147–154.CrossRefGoogle Scholar
[9]Latane, Henry A. “Cross-Sectional Regularities in Returns on Investment in Common Stocks.” The Journal of Business of the University of Chicago, Vol. 46 (October 1974), pp. 512–516.Google Scholar
[10]Martin, John D., and Klemkosky, Robert C.. “The Effect of Homogeneous Stock Groupings on Portfolio Risk.” The Journal of Business, Vol. 49 (July 1976), pp. 339–349.CrossRefGoogle Scholar
[11]Meyers, Stephen L. “A Re-examination of Market and Industry Factors in Stock Price Behavior.” Journal of Finance, Vol. 28 (June 1973), pp. 695–705.Google Scholar
[12]Rosenberg, Barr. “Extra-Market Components of Covariance in Security Returns.” Journal of Financial and Quantitative Analysis, Proceedings Issue (March 1974), pp. 263–274.CrossRefGoogle Scholar
[13]Sharpe, William F. “Bonds Versus Stocks: Some Lessons from Capital Market Theory.” Financial Analysts Journal (November–December 1973), pp. 74–80.CrossRefGoogle Scholar
[14]Sharpe, William F.Portfolio Theory and Capital Markets. New York: McGraw-Hill Book Company (1970).Google Scholar
[15]Siegel, Sidney. Non-parametric Statistics. New York: McGraw-Hill Book Company (1956).Google Scholar
[16]Simkowitz, Michael A., and Logue, Dennis E.. “The Interdependent Structure of Security Returns.” Journal of Financial and Quantitative Analysis (March 1973), pp. 259–272.CrossRefGoogle Scholar
[18]Stone, Bernell K. “Systematic Interest-Rate Risk in a Two-Index Model of Returns.” Journal of Financial and Quantitative Analysis (November 1974), pp. 709–721.CrossRefGoogle Scholar