Zeng, Liujing
[Verfasser:in]
;
Au Yong, Hue Hwa
[Sonstige Person, Familie und Körperschaft];
Treepongkaruna, Sirimon
[Sonstige Person, Familie und Körperschaft];
Faff, Robert W.
[Sonstige Person, Familie und Körperschaft]
Is There a Banking Risk Premium in the US Stock Market?
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 18, 2010 erstellt
Beschreibung:
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