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Discussion Paper
Modeling Bank Stock Returns: A Factor-Based Approach
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.
Discussion Paper
What Do Bank Stock Returns Say About Monetary Policy Transmission?
In this note, we build on the factor-based asset pricing framework introduced in our companion piece, "Modeling Bank Stock Returns: A Factor-Based Approach" (Ehresmann, Morelli, and Wang, 2025), to examine the transmission of monetary policy (MP) shocks through bank stock returns. Specifically, we explore two core questions.