Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 27-42 |
| Number of pages | 16 |
| Journal | Journal of Financial Management Markets and Institutions |
| Volume | 2 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2014 |
UN SDGs
This output contributes to the following UN Sustainable Development Goals (SDGs)
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SDG 10 Reduced Inequalities
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