We further show that the levered firm has a countervailing incentive to defer its investment due to the deadweight loss when bankruptcy occurs, which would be absent should the firm be unlevered. The former incentive is likely to be dominated by the latter incentive, in particular when the ...
The size and the leverage of financial market investors and the elasticity of demand of unlevered investors define MinMaSS, the smallest market size that can support a given degree of leverage. The financial system's potential for financial crises can be measured by the stability ratio, the fract...
Leverageunlevered equity returnsasset betavalue premiumsize discountvolatility puzzleheteroskedasticityBuilding on the theoretical asset pricing literature, we examine the role of market risk and the size, book-to-market (BTM), and volatility anomalies in the cro...
Building on theoretical asset pricing literature, we examine the roleof market risk and the size, book‐to‐market (BTM), and volatility anomaliesin the cross‐section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in ...
与levered returns相比,即使在控制了规模和BTM之后,unlevered market beta在解释unlevered equity returns的横截面方面也发挥着更重要的作用。规模效应减弱,而value premium和volatility puzzle实际上消失了。我们证明了杠杆导致了收益的异方差。无杠杆回报消除了这种pattern,否则很难通过控制回归中的杠杆来解决。
The unlevered RP portfolio weights are rescaled to sum to 1 at each rebalancing. average market weight over this sample (1926– 2010) was 68 percent in stocks and 32 percent in Treasury bonds, but we note that this long sample does not include other types of bonds, such as corporate ...
The seemingly perverse finding with respect to the leverage component of B/P survives under controls for size, estimated beta, return volatility, momentum, and default risk. The Book-to-Price Effect in Stock Returns: Accounting for Leverage Fama and French (1992) observe that book-to-price ...
Therefore, to document and measure how value is created we must understand how risks are created. Risks of a business (as measured by unlevered beta) emanate from two main sources: Nature of product or service offered: Other things being equal, the more discretionary the demand for th...
We then construct monthly time-series of levered and unlevered total returns for each company in the sample; these returns are then used to create value-weighted levered and unlevered total return indices for each of the eight countries, and for our aggregate "All- Countries" sample. This ...
you’re going to end up down a little bit of a dead end or in a spot where, you know, you’re maybe in a job where you’re just trading time for money or you’re in a job that’s extremely unlevered and you end up feeling like you’ll never earn more than $60,000 a year...