Abstract

http://ssrn.com/abstract=1653083
 
 

Citations (5)



 


 



Size Anomalies in U.S. Bank Stock Returns


Priyank Gandhi


Mendoza College of Business, University of Notre Dame

Hanno N. Lustig


UCLA - Anderson School of Management; National Bureau of Economic Research (NBER)

August 15, 2012

Journal of Finance, Forthcoming

Abstract:     
The largest commercial bank stocks, ranked by the 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 the existence of government guarantees that protect shareholders of large banks, but not small banks, in disaster states.

Number of Pages in PDF File: 39

Keywords: Banking Crisis, Banking, Government Bailout

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Date posted: August 5, 2010 ; Last revised: July 30, 2013

Suggested Citation

Gandhi, Priyank and Lustig, Hanno N., Size Anomalies in U.S. Bank Stock Returns (August 15, 2012). Journal of Finance, Forthcoming. Available at SSRN: http://ssrn.com/abstract=1653083 or http://dx.doi.org/10.2139/ssrn.1653083

Contact Information

Priyank Gandhi
Mendoza College of Business, University of Notre Dame ( email )
253 Mendoza College of Business
Notre Dame, IN 46656
United States
5746313450 (Phone)
Hanno N. Lustig (Contact Author)
UCLA - Anderson School of Management ( email )
405 Hilgard Avenue
Box 951361
Los Angeles, CA 90095
United States
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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