Priyank Gandhi

TL;DR: In this article, the authors 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 right covariance with bank returns to explain the average risk-adjusted returns.

TL;DR: The authors found that negative sentiment in the annual report is associated with larger delisting probabilities, lower odds of paying subsequent dividends, higher subsequent loan losses, and lower future ROA, and suggest that regulators could augment current early warning systems for banks and the banking sector by using the frequency of negative words in banks' annual reports.

TL;DR: In this article, the authors find that the stocks of a country's largest financial companies earn returns that are significantly lower than stocks of non-financials with the same risk exposures, and the spread also predicts large crashes in that country's stock market and output.

TL;DR: In this article, the authors find that the top-10% of financial stocks on average account for over 20% of a country's market capitalization but earn on average significantly lower returns than do non-financial firms of the same size and risk exposures.

TL;DR: This paper showed that at-the-money implied volatility of options on futures of five-year Treasury notes (yield implied volatility) predicts both the growth rate and volatility of gross domestic product, as well as of other macroeconomic variables, like industrial production, consumption, and employment.