This paper analyzes the market perception of the risk of the banking industry during the 1969-89 period by using two methodologies simultaneously. The market factor and economic and industry factors (proxied by interest rate variables) of a multifactor regression model are examined in relation to industry, intra-industry, and bank-specific factors extracted using principal component analysis of bank holding company stock returns. The results provide additional insights into the market perception of bank risk beyond those provided by the market and interest rate risk models of previous studies. (JELG21)