The Pricing of Interest-Rate Risk: Evidence from the Stock Market.

This paper provides evidence that changes in government bond yields clearly affect ex post returns to electric utilities, and that this phenomenon is concentrated to a much larger extent in this particular industry than in NYSE firms as a whole (Table I). Evidence of the pricing is provided within the framework of the APT. Empirical work employed a pooled cross-section approach using a nonlinear constrained version of FIML estimation. [ABSTRACT FROM AUTHOR]