18 Pages Posted: 24 Apr 2014 Last revised: 13 May 2014
Date Written: 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.
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