NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation

Priyank Gandhi, Hanno Lustig

NBER Working Paper No. 16553
Issued in November 2010

---- Acknowledgements -----

The authors thank Viral Acharya, Martin Bodenstein, Markus Brunnermeier, John Campbell, John Cochrane, Ron Feldman, Cesare Fracassi, Etienne Gagnon, Mark Garmaise, Mark Grinblatt, Jennifer Huang, John Krainer, Arvind Krishnamurthy, David Laibson, Jonathan Parker, Lasse Pedersen, Andrea Raffo, Richard Roll, Jan Schneider, Martin Schneider, Clemens Sialm, Rob Vishny, and Skander Vandenheuvel for detailed and helpful comments, as well as seminar participants at UT Austin, Chicago Booth, NYU Stern, Harvard Economics, the Federal Reserve Board of Governors, the Federal Reserve Bank of San Francisco, and the Society for Economic Dynamics 2010 Annual Meeting in Montreal, and the 2010 Stanford Institute for Theoretical Economics. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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