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 Business School, Newark and 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 Business School, Newark and New Brunswick ( email )

111 Washington Avenue
Newark, NJ 07102
United States

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)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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