Size Anomalies in U.S. Bank Stock Returns

• 成果类型: Article
• 署名作者: Gandhi, Priyank; Lustig, Hanno
• 署名单位: University of Notre Dame; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12235
• 发表日期: 2015
• 页码: 733-768
• 关键词: rare disasters; Deposit insurance; COMMON-STOCKS; market value; time; RISK; earnings; Bailouts; premium; crises

摘要

The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk-adjusted returns than small-and medium-sized bank stocks, even though large banks are significantlymore levered. We uncover a size factor in the component of bank returns that is orthogonal to the standard risk factors, including small minus big, which has the right covariance with bank returns to explain the average risk-adjusted returns. This factormeasures size-dependent exposure to bank-specific tail risk. These findings are consistent with government guarantees that protect shareholders of large banks, but not small banks, in disaster states.