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

The authors thank the editors, Cam Harvey and Ken Singleton, as well as the associate editor and several referees for excellent suggestions. The authors also thank Viral Acharya, Martin Bodenstein, Markus Brunnermeier, John Campbell, John Cochrane, Ron Feldman, Cesare Fracassi, Etienne Gagnon, Mark Garmaise, Amit Goyal, 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, Skander Vandenheuvel, and Baolian Wang for many for detailed and helpful comments, as well as seminar participants at University of Texas at Austin, Chicago Booth, New York University Stern, Harvard Economics, the Federal Reserve Board of Governors, the Federal Reserve Bank of San Francisco, the Society for Economic Dynamics 2010 Annual Meeting in Montreal, and the 2010 Stanford Institute for Theoretical Economics for detailed and helpful comments. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

• November 17, 2010
• December 5, 2011
• January 31, 2012