TY - JOUR
T1 - Is there a banking risk premium in the US stock market?
AU - Zeng, Liujing
AU - Yong, Hue Hwa Au
AU - Treepongkaruna, Sirimon
AU - Faff, Robert
PY - 2014
Y1 - 2014
N2 - This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this research question in the context of the CAPM and the Fama-French three-factor model. We use bank size to create the banking factor return (BNK)Â –Â the return on a mimicking portfolio that is long (short) big (small) banks. We find a positive premium for BNK and our analysis supports a risk-based interpretation, since the premium is priced. Our findings are notable since they point to a slight superiority of CAPM augmented by BNK over the counterpart that augments the Fama-French model with BNK.
AB - This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this research question in the context of the CAPM and the Fama-French three-factor model. We use bank size to create the banking factor return (BNK)Â –Â the return on a mimicking portfolio that is long (short) big (small) banks. We find a positive premium for BNK and our analysis supports a risk-based interpretation, since the premium is priced. Our findings are notable since they point to a slight superiority of CAPM augmented by BNK over the counterpart that augments the Fama-French model with BNK.
UR - http://handle.uws.edu.au:8081/1959.7/556660
UR - http://www.rivisteweb.it/download/article/10.12831/77235
U2 - 10.12831/77235
DO - 10.12831/77235
M3 - Article
SN - 2282-717X
VL - 2
SP - 27
EP - 42
JO - Journal of Financial Management Markets and Institutions
JF - Journal of Financial Management Markets and Institutions
IS - 1
ER -
