Autori: Treepongkaruna, Sirimon, Zeng, Liujing, Yong, Hue Hwa Au, Faff, Robert
Titolo: Is there a Banking Risk Premium in the US Stock Market?
Periodico: Journal of financial management, markets and institutions (Online)
Anno: 2014 - Volume: 3 - Fascicolo: 1 - Pagina iniziale: 27 - Pagina finale: 42

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) - 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.




SICI: 2282-717X(2014)3:1<27:ITABRP>2.0.ZU;2-6
Testo completo: http://www.rivisteweb.it/download/article/10.12831/77235
Testo completo alternativo: http://www.rivisteweb.it/doi/10.12831/77235

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