Reply to Amit Goyal’s Comment, 'No Size Anomalies in U.S. Bank Stock Returns'
Mendoza College of Business, University of Notre Dame
Hanno N. Lustig
Stanford Graduate School of Business; National Bureau of Economic Research (NBER)
May 12, 2014
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.
Number of Pages in PDF File: 18
Date posted: April 24, 2014 ; Last revised: May 13, 2014