The largest commercial bank stocks, ranked by total size of the balance sheet, have significantly lower risk …-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We uncover a size … factor in the component of bank returns that is orthogonal to the standard risk factors, including small-minus-big, which has …

The benefits of international diversification have been recognized for decades. In spite of this, most investors hold … portfolio holdings of investors in the U.S., Japan, and Britain. More than 98% of the equity portfolio of Japanese investors is … domestic equity market to be several hundred basis points higher than returns in other markets. This lack of diversification …

Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is …

valuations. We find that there is a diversification discount: The marketvalues financial conglomerates that engage in multiple … indicate that economies of scope arenot sufficiently large to produce a diversification premium …