Discussion Paper
Modeling Bank Stock Returns: A Factor-Based Approach
Abstract: In this note, we introduce a factor asset pricing model to analyze risk-adjusted returns on bank stocks. Given their high-frequency availability, bank stock returns offer a valuable lens into the risk exposures and dynamics of the banking sector.
https://doi.org/10.17016/2380-7172.3824
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Bibliographic Information
Provider: Board of Governors of the Federal Reserve System (U.S.)
Part of Series: FEDS Notes
Publication Date: 2025-06-06
Number: 2025-06-06-3