IDEAS home Printed from https://ideas.repec.org/a/bla/intfin/v22y2019i2p155-170.html
   My bibliography  Save this article

The size anomaly in European financial stock returns

Author

Listed:
  • Sander Muns

Abstract

Large financial institutions in Europe earn significantly lower risk‐adjusted returns than their smaller counterparts. This pattern is absent in other industries. We interpret this as evidence of the latent government guarantees that protect large European financial institutions from tail events. Panel regressions suggest that unconditional on distress, the expected guarantees increase with size, leverage, and the government debt‐to‐GDP ratio. These determinants can be associated with a higher likelihood of being involved in a systemic crisis and thus receiving more government guarantees.

Suggested Citation

  • Sander Muns, 2019. "The size anomaly in European financial stock returns," International Finance, Wiley Blackwell, vol. 22(2), pages 155-170, August.
    • Handle: RePEc:bla:intfin:v:22:y:2019:i:2:p:155-170
    DOI: 10.1111/infi.12330
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/infi.12330
    Download Restriction: no
    File URL: https://libkey.io/10.1111/infi.12330?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:intfin:v:22:y:2019:i:2:p:155-170. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1367-0271 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.