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Cited by 287

The DOI matches its Crossref record; 34 of the 34 references it cites were found in a registry or an index.

Size Anomalies in U.S. Bank Stock Returns

GANDHI, PRIYANK, LUSTIG, HANNO·2015·The Journal of Finance
DOI 10.1111/jofi.12235
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Abstract

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 significantly more 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 factor measures 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.

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Crossref · 10.1111/jofi.12235

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Metadata

Authors
GANDHI, P., & LUSTIG, H.
Venue
The Journal of Finance
Publisher
Wiley
Published
2015-03-12
Volume
70
Issue
2
Pages
733-768
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/jofi.12235
OpenAlex
W2323051730
Cited by
287
References
34
FWCI
39.31
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Size Anomalies in U.S. Bank Stock Returns. https://app.cochat.ai/papers/10.1111/jofi.12235
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GANDHI, P., & LUSTIG, H. (2015). Size Anomalies in U.S. Bank Stock Returns. The Journal of Finance. https://doi.org/10.1111/jofi.12235

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.