We present a pricing model of bank bailout insurance guarantees against tail risk and empirical evidence that provides a rational explanation why big bank equities “underperform” relative to small banks during normal times while they “overperform” during crises. A new measure accounting for left-tail risk protection against losses conditional on a crisis explains the “underperformance” of large banks during normal periods. Over the long-term spanning several economic cycles, bank assets are fairly priced regardless of size. Our empirical evidence supports our model’s predicted pattern of excess bank return reversals across economic cycles following Too-Big-To-Fail (TBTF) bailout policy in 1984.

我们提出了银行救助保险担保尾部风险的定价模型和经验证据，为大银行股票在正常时期相对于小银行“表现不佳”而在危机期间“表现优异”提供了合理的解释。一项针对以危机为条件的损失的左尾风险保护的新措施解释了大型银行在正常时期的“表现不佳”。从跨越几个经济周期的长期来看，银行资产无论规模大小都是合理定价的。我们的经验证据支持我们的模型预测的模式，即在 1984 年的“大到不能倒”（TBTF）救助政策之后，整个经济周期中的银行超额回报逆转。