No Size Anomalies in U.S. Bank Stock Returns

25 Pages Posted: 19 Mar 2014 Last revised: 15 Aug 2017

See all articles by Amit Goyal

Amit Goyal

University of Lausanne; Swiss Finance Institute

Date Written: July 2017

Abstract

Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government guarantees for large banks, if they exist, are not perceived by their shareholders.

Keywords: Government guarantees, banks, stock returns, size effect

JEL Classification: G12, G18, G21, G28

Suggested Citation

Goyal, Amit, No Size Anomalies in U.S. Bank Stock Returns (July 2017). Available at SSRN: https://ssrn.com/abstract=2410542 or http://dx.doi.org/10.2139/ssrn.2410542

Amit Goyal (Contact Author)

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
Switzerland
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)

HOME PAGE: http://www.hec.unil.ch/agoyal/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

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