Entrop, Oliver; Memmel, Christoph; Ruprecht, Benedikt; … - In: Journal of Banking & Finance 54 (2015) C, pp. 1-19
literature is twofold: First, we extend the Ho and Saunders (1981) model to capture interest rate risk and expected returns from … between 2000 and 2009. Our results suggest that banks price their individual interest rate risk and corresponding expected … excess holding period returns via the asset side into the net interest margin. For liabilities, we find that interest rate …