Size Anomalies in U.S. Bank Stock Returns
研究发现，按资产负债表总规模排序，美国大型商业银行股票的经风险调整后收益显著低于中小型银行，尽管大型银行杠杆更高。这一规模效应与银行特有的尾部风险暴露相关，且与大型银行股东在危机时受政府担保保护的解释一致。
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.