Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 18, 2010 erstellt
Description:
This paper investigates whether there is a banking risk premium that helps explain the returns of US publicly listed firms. We assess this phenomenon in the context of the capital asset pricing model and the Fama and French three-factor model. We use bank size to create the banking factor – a mimicking portfolio that is long (short) big (small) banks. Our findings support a risk-based interpretation of the banking factor and that a banking risk premium is priced and systematic