No Size Anomalies in U.S. Bank Stock Returns

@inproceedings{Goyal2014NoSA,
  title={No Size Anomalies in U.S. Bank Stock Returns},
  author={Amit Goyal},
  year={2014}
}
Gandhi and Lustig (2013) find that large banks in the U.S. have significantly lower risk-adjusted returns than small- and medium-sized bank stocks. I am to unable to replicate this finding despite many different empirical choices in my specification. The results suggest that implicit government guarantees for large banks, if they exist, are not perceived by their shareholders.