Equity Is Cheap for Large Financial Institutions
Informazioni aggiuntive
Autori
Gandhi P.,
Lustig H.,
Plazzi A.
Tipo
Articolo pubblicato in rivista scientifica
Anno
2020
Lingua
Inglese
Sommario
Across a wide panel of countries, the top-10% of financial stocks on average account for over 20% of a country’s market capitalization but earn on average significantly lower returns than do nonfinancial firms of the same size and risk exposures. In a bailout-augmented, rare disasters asset pricing model, the spread in risk-adjusted returns between large and small institutions depends on country characteristics that determine the likelihood of bailouts. Consistent with this model, we find larger spreads in countries with large and interconnected financial sectors, weaker capital regulation and corporate governance, and fiscally stronger governments. Valuation gaps increase in anticipation of financial crises.
Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.
Periodico
The Review of Financial Studies
Volume
33
Numero ( Mese )
9
Pagine (o numero dell’articolo)
4231-4271
ISSN
0893-9454, 1465-7368
Diffusione
Licenza
Licenza non definita
Visibilità
Privato
