We examine how the tail behavior of risk factors affects the tail behavior of individual bank stock returns in the United States. Using 26 common risk factors, we construct univariate and multivariate conditional exceedance measures. We find that returns on banking industry, security-trading industry, and broad market portfolios have the largest impact on the probability of observing high positive tail returns on bank stocks. A small-minus-big bank return factor, market volatility, and a profitability risk factor have the largest impacts on the probability of lower tail returns. Bank capital ratios and total allowances for loan losses are notably related to tail risk.

我们研究了风险因素的尾部行为如何影响美国单个银行股票回报的尾部行为。使用 26 个常见风险因素，我们构建了单变量和多变量条件超越措施。我们发现银行业、证券交易业和广泛市场投资组合的回报对观察到银行股高正尾回报的概率影响最大。小银行回报因子、市场波动率和盈利风险因子对低尾回报概率的影响最大。银行资本比率和贷款损失准备金总额与尾部风险显着相关。