The effects of income diversification of banks on various risk-adjusted market value measures are reassessed by applying quantile regressions on U.S. bank holding company data from 2000-2010. An indirect effect from a diversified income structure and a direct effect from an increased non-interest income share jointly determine the net effect of income diversification. The first main empirical finding shows a significant discount for the banks in the upper quantiles of the risk-adjusted market value distributions. Second, the net diversification effects change over time. These findings are consistent with the view that the diversification discount reflects an opportunity cost in adjusting a dynamic value-maximizing strategy.