THE JOURNAL OF FINANCE· VOL. LXX, NO. 2·APRIL 2015

美国银行股的规模异象

作者：PRIYANK GANDHI, HANNO LUSTIG

摘要：将美国银行股按照资产负债表中的规模排序，我们发现：尽管规模较大的银行杠杆比率更高，但是大规模的银行其风险调整后收益低于中小规模银行的风险调整后收益。在银行股的收益率中，我们发现了一个新的规模因子，它与银行股收益的协方差可以合理地解释银行股的风险调整后收益，并且其正交于常规的风险因子（如SMB）。这个因子衡量了不同规模的银行对于尾部风险暴露程度。本文的结论与政府在危机时承诺保护大银行而非小银行股东的事实一致。

关键词：银行股，规模因子，尾部风险

Size Anomalies in U.S. Bank Stock Returns

PRIYANK GANDHI and HANNO LUSTIG

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.

Keywords: Bank Stock Return, Size Factor, Tail Risk

原文链接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12235/full

翻译：殷曼琳