Leverage and the Cross-Section of Equity Returns

• 成果类型: Article
• 署名作者: Doshi, Hitesh; Jacobs, Kris; Kumar, Praveen; Rabinovitch, Ramon
• 署名单位: University of Houston System; University of Houston
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12758
• 发表日期: 2019
• 页码: 1431-1471
• 关键词: CORPORATE-DEBT; stock returns; idiosyncratic volatility; capital structure; conditional capm; GROWTH OPTIONS; market value; RISK; INVESTMENT; equilibrium

摘要

Building on theoretical asset pricing literature, we examine the role of market risk and the size, book-to-market (BTM), and volatility anomalies in the cross-section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross-section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevered returns. We show that leverage induces heteroskedasticity in returns. Unlevering returns removes this pattern, which is otherwise difficult to address by controlling for leverage in regressions.