Is There News in the Prime Rate?

Myron B. Slovin, Marie Sushka, Edward R. Waller

Research output: Contribution to journalArticlepeer-review

5 Scopus citations

Abstract

Using intraday data, we find that bank announcements of changes in the prime rate have significant effects on Dow Jones stock price indexes and yields in the Treasury bill futures market. We find comparable effects using daily data for indexes of share prices of banks and financial firms as well as interest rates on various maturities of government securities. Our evidence is consistent with the view that banks have a comparative advantage in processing private information gained through bank-borrower relations and the regulatory supervision process.

Original languageEnglish (US)
Pages (from-to)633-646
Number of pages14
JournalJournal of Financial and Quantitative Analysis
Volume29
Issue number4
DOIs
StatePublished - 1994

ASJC Scopus subject areas

  • Finance
  • Accounting
  • Economics and Econometrics

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