Reply 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

See all articles by Priyank Gandhi

Priyank Gandhi

Rutgers University, New Brunswick

Hanno N. Lustig

Stanford Graduate School of Business; National Bureau of Economic Research (NBER)

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

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

Priyank Gandhi

Rutgers University, New Brunswick ( email )

New Brunswick, NJ
United States

Hanno N. Lustig (Contact Author)

Stanford Graduate School of Business ( email )

Stanford GSB
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Stanford, CA California 94305-6072
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3108716532 (Phone)

National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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