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The Systematic Interest Rate Risk Of The Returns On Australian Bank Shares, Michael Shanahan

Theses : Honours

This paper examines the relationship bank share returns have with interest rate changes. Specifically, what is the systematic interest rate risk of Australian bank share returns. The reasons why bank shares and interest rates possibly have a relationship with interest rates are numerous, interrelated and complicated. Shares and interest rates generally have a relationship because of the comparison made between interest bearing securities and dividend paying shares. However, the relationship is compounded with banks, because of their exposure to interest rate risk. This paper involves two separate analyses. The firp.t part involves attempting to measure a bank share's interest rate …