全球智库信息集成服务系统(G2TT): Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w16553
来源ID	Working Paper 16553
	Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
	Priyank Gandhi; Hanno Lustig
发表日期	2010-11-25
出版年	2010
语种	英语
摘要	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.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w16553
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/574228
推荐引用方式 GB/T 7714	Priyank Gandhi,Hanno Lustig. Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation. 2010.