원문정보
초록
영어
We reexamine the size anomaly in U.S. bank stock returns and suggest a new size factor capturing the size-dependent return difference. Primarily, Gandhi and Lustig (2015) construct a size factor in the component of size-sorted bank stock portfolio returns, but this size factor has limited economic meanings. We compute size factor using Kelly and Jiang (2014)’s tail risk measure. Tail risk is easily estimable from the cross-section of stock returns and measures time-varying extreme event risk. We show that tail risk captures size-related exposures to bank stock returns. We further analyze the characteristics of the tail risk and its relation with bank stock returns. These findings support that investors actually perceive the too-big-to-fail hypothesis in the bank stock markets.
목차
1. Introduction
2. Data and Methodology
2.1. Classifying Commercial Bank Stocks and Size-Sorted Portfolios
2.2. Computing Tail Risk Measure
3. Size and Tail Beta-Sorted Bank Stock Returns
3.1. Returns on Size and Tail Beta-Sorted Bank Stock Portfolios
3.2. Risk-Adjusted Returns on Size and Tail Beta-Sorted Bank Stock Portfolios
4. Tail Risk and Size Anomaly in Bank Stock Returns
4.1. Tail Risk-Adjusted Returns on Size-Sorted Portfolios.
4.2. Liquidity-Adjusted Returns on Size-Sorted Portfolios
5. What is the Tail Risk?
5.1. Time-Varying Tail Risk
5.2. The Size-Varying Tail Risk Sensitivities
5.3. Size Anomaly in Tail Beta-Sorted Portfolio Returns
6. Conclusion
References