Applying standard portfolio-sort techniques to bank asset returns for 15 countries from 2004
to 2018, we uncover a risk premium associated with implicit government guarantees. This …

We present a pricing model of bank bailout insurance guarantees against tail risk and
empirical evidence that provides a rational explanation why big bank equities …

The purpose of this study is to investigate the effect of leverage and managerial skills on
return for shareholders. The proportion of debt in the total capital structure of the firm is of …

Abstract The Fama-French three-factor model (Fama and French, 1993) has been subject to
extensive testing on samples of US and European non-financial firms over several time …

This study examine the effect of firm size on stock returns with time variant factor of January
and July. Broadly speaking, the extant literature finds relationship of firm size with stock …

Abstract The Fama-French three-factor model (Fama and French, 1993) has been subject to
extensive testing on samples of US and European nonfinancial firms over several time …

This study examines the effect of firm size on excess stock returns with time variant factor of
January and July. Broadly speaking, the extant literature finds negative relationship of firm …

We reexamine the size anomaly in US bank stock returns and suggest a new size factor
capturing the size-dependent return difference. Primarily, Gandhi and Lustig (2015) …

We examine the impact of financial regulation uncertainty on the mispricing of earnings in
the banking sector. To the extent that the uncertainty generated by the regulatory process …

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