No Size Anomalies in U.S. Bank Stock Returns
25 Pages Posted: 19 Mar 2014 Last revised: 15 Aug 2017
Date Written: July 2017
Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government guarantees for large banks, if they exist, are not perceived by their shareholders.
Keywords: Government guarantees, banks, stock returns, size effect
JEL Classification: G12, G18, G21, G28
Suggested Citation: Suggested Citation
Goyal, Amit, No Size Anomalies in U.S. Bank Stock Returns (July 2017). Available at SSRN: https://ssrn.com/abstract=2410542 or http://dx.doi.org/10.2139/ssrn.2410542
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