Abstract

http://ssrn.com/abstract=2427822
 
 

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Reply to Amit Goyal’s Comment, 'No 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)

May 12, 2014


Abstract:     
Amit Goyal wrote a comment on our paper (Gandhi and Lustig (2014)) which misrepresents our study of the size effects in bank stock returns. This note shows that the size anomalies in bank stock returns documented by Gandhi and Lustig are robust to experimental design and are mostly driven by the largest banks (not the smallest ones) in the top three percentiles of the size distribution.

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Date posted: April 24, 2014 ; Last revised: May 13, 2014

Suggested Citation

Gandhi, Priyank and Lustig, Hanno N., Reply to Amit Goyal’s Comment, 'No Size Anomalies in U.S. Bank Stock Returns' (May 12, 2014). Available at SSRN: http://ssrn.com/abstract=2427822 or http://dx.doi.org/10.2139/ssrn.2427822

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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