Priyank Gandhi

Priyank Gandhi
Rutgers Business School · Department of Finance

PhD

About

23
Publications
2,791
Reads
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605
Citations
Citations since 2017
7 Research Items
430 Citations
2017201820192020202120222023020406080
2017201820192020202120222023020406080
2017201820192020202120222023020406080
2017201820192020202120222023020406080
Education
September 2006 - July 2012
March 2005 - April 2006
University of California, Berkeley
Field of study
  • Financial Engineering
March 1999 - March 2001
Management Development Institute Gurgaon
Field of study
  • Finance and Information Management

Publications

Publications (23)
Article
We show that at-the-money implied volatility of options on futures of five-year Treasury notes (Treasury “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. This predictability is robust to controllin...
Article
Across a wide panel of countries, 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 nonfinancial firms of the same size and risk exposures. In a bailout-augmented, rare disasters asset pricing model, the spread in risk-adjusted returns between...
Article
This paper exploits a natural experiment from the late 1800s in which many U.S. firms had inadvertently issued both taxable and tax-exempt bonds. Investors paid income tax on taxable bonds, but firms covered income tax on investors’ behalf on tax-exempt bonds. Using a unique data-set of these ‘dualclass’ corporate bonds, we derive a novel, market-b...
Article
Current measures of bank distress find marginal value in predictive variables beyond a capital adequacy ratio and tend to miss extreme events impacting the entire sector. The authors advocate a new proxy for bank distress: sentiment measures from banks’ annual reports. After controlling for popular forecasting variables used in the literature, they...
Article
Using comprehensive data on London Interbank Offer Rate (Libor) submissions from 2001 through 2012, we provide evidence consistent with banks manipulating Libor to profit from Libor-related positions and to signal their creditworthiness during distressed times. Evidence of manipulation is stronger for banks that were eventually sanctioned by regula...
Article
Modern U.S. banks engage into activities traditionally considered as non-core for the banking sector. Consistent with extant models of financial intermediation, which suggest banks diversify to lower risk and improve profitability, we document that banks with higher probability of financial distress and deadweight financial costs diversify more agg...
Article
Full-text available
Amit Goyal wrote a comment on our paper (Gandhi and Lustig (2014)) which misrepresents our study of the size effects in bank stock returns. This note shows that the size anomalies in bank stock returns documented by Gandhi and Lustig are robust to experimental design and are mostly driven by the largest banks (not the smallest ones) in the top thre...
Article
Allowing banks to trade is considered risky. We show instead that cash flows from trading activities can help banks hedge liquidity risk. For the bank sector, cash flows from lending activities are procyclical, while cash flows from trading activities are countercyclical. For individual banks, there is variation in the extent to which trading coins...
Article
Regulatory sanctions and lawsuits related to Libor manipulation represent major operational risks facing large international banks. We find a significant relation between a bank's measure of Libor exposure and its average monthly submission, from which Libor is subsequently computed, during 1999 to 2012. The relation is stronger during the January...
Article
The largest commercial bank stocks, ranked by the 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...
Article
We document the active operation of internal capital markets at North American Bank Holding Companies. Bank interest income from loans is procyclical, while trading revenue is on average negatively correlated with interest income. Capital is reallocated between lending and trading activities depending on the relative success of each. Trading divisi...
Article
I find that a 1% increase in aggregate bank credit growth implies that the excess returns of bank stocks over the next one year are lower by nearly 3%. Unlike most other forecasting relationships, credit growth tracks bank stock returns over the business cycle and explains nearly 14% of the variation in bank stock returns over a 1-year horizon. Thi...
Article
Full-text available
The largest commercial bank stocks, measured by book value, have significantly lower risk-adjusted returns than small- and medium-sized bank stocks, even though large banks are significantly more levered. We find a size factor in the component of bank returns that is orthogonal to the standard risk factors. This size factor, which has the right cov...

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