À繫¿¬±¸ Á¦ ±Ç È£ (2017³â 5¿ù)
Asian Review of Financial Research, Vol., No..
pp.542~567
pp.542~567
Tail Risk and Size Anomaly in Bank Stock Returns
Heewoo Park Korea Advanced Institute of Science and Technology
Tongsuk Kim Korea Advanced Institute of Science and Technology
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.
Heewoo Park
Tongsuk Kim
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.
bank stock returns,too-big-to-fail,tail risk,financial disaster