Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation /
Gandhi, Priyank.
Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation / Priyank Gandhi, Hanno Lustig. - Cambridge, Mass. National Bureau of Economic Research 2010. - 1 online resource: illustrations (black and white); - NBER working paper series no. w16553 . - Working Paper Series (National Bureau of Economic Research) no. w16553. .
November 2010.
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has the right covariance with bank returns to explain the average risk-adjusted returns. This factor measures size-dependent exposure to bank-specific tail risk. These findings are consistent with government guarantees that protect shareholders of large banks, but not small banks, in disaster states.
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Mode of access: World Wide Web.
Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation / Priyank Gandhi, Hanno Lustig. - Cambridge, Mass. National Bureau of Economic Research 2010. - 1 online resource: illustrations (black and white); - NBER working paper series no. w16553 . - Working Paper Series (National Bureau of Economic Research) no. w16553. .
November 2010.
The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has the right covariance with bank returns to explain the average risk-adjusted returns. This factor measures size-dependent exposure to bank-specific tail risk. These findings are consistent with government guarantees that protect shareholders of large banks, but not small banks, in disaster states.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.