Download This PaperReply to Amit Goyal’s Comment, 'No Size Anomalies in U.S. Bank Stock Returns'
18 Pages Posted: 24 Apr 2014 Last revised: 13 May 2014
Date Written: 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.
Suggested Citation: 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: https://ssrn.com/abstract=2427822 or http://dx.doi.org/10.2139/ssrn.2427822
Hanno N. Lustig (Contact Author)
Stanford Graduate School of Business ( email )
Stanford GSB
655 Knight Way
Stanford, CA California 94305-6072
United States
3108716532 (Phone)
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.