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

美國銀行股的規模異象

作者：PRIYANK GANDHI, HANNO LUSTIG

摘要：将美國銀行股按照資産負債表中的規模排序，我們發現：盡管規模較大的銀行杠杆比率更高，但是大規模的銀行其風險調整後收益低于中小規模銀行的風險調整後收益。在銀行股的收益率中，我們發現了一個新的規模因子，它與銀行股收益的協方差可以合理地解釋銀行股的風險調整後收益，并且其正交于常規的風險因子（如SMB）。這個因子衡量了不同規模的銀行對于尾部風險暴露程度。本文的結論與政府在危機時承諾保護大銀行而非小銀行股東的事實一緻。

關鍵詞：銀行股，規模因子，尾部風險

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

原文鍊接：http://onlinelibrary.wiley.com/doi/10.1111/jofi.12235/full

翻譯：殷曼琳