Size anomalies and tail risk in European bank stock returns

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Shin, Sean Seunghun
dc.contributor.author Halme, Rasmus
dc.date.accessioned 2018-03-28T12:43:23Z
dc.date.available 2018-03-28T12:43:23Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/30408
dc.description.abstract I provide new evidence on a size anomaly in European bank stock returns. Consistent with Gandhi and Lustig (2015), the largest European commercial bank stocks, ranked by either total assets or market capitalization, have significantly lower risk-adjusted returns. I argue that the anomaly is explained by implicit government guarantees absorbing tail risk from large banks. However, contrary to Park and Kim’s (2016) findings in the U.S., a tail risk factor constructed from the cross-section of stock returns does not properly capture the size-dependent return difference. en
dc.format.extent 26
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title Size anomalies and tail risk in European bank stock returns en
dc.type G1 Kandidaatintyö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword valuation en
dc.subject.keyword banks en
dc.subject.keyword anomaly en
dc.subject.keyword tail en
dc.identifier.urn URN:NBN:fi:aalto-201803281875
dc.type.ontasot Bachelor's thesis en
dc.type.ontasot Kandidaatintyö fi
dc.programme Rahoitus fi


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