Levered Returns

• 成果类型: Article
• 署名作者: Gomes, Joao F.; Schmid, Lukas
• 署名单位: University of Pennsylvania; Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01541.x
• 发表日期: 2010
• 页码: 467-494
• 关键词: capital structure; DELISTING BIAS; cross-section; stock returns; debt; INVESTMENT

摘要

This paper revisits the theoretical relation between financial leverage and stock returns in a dynamic world where both corporate investment and financing decisions are endogenous. We find that the link between leverage and stock returns is more complex than static textbook examples suggest, and depends on the investment opportunities available to the firm. In the presence of financial market imperfections, leverage and investment are generally correlated so that highly levered firms are also mature firms with relatively more (safe) book assets and fewer (risky) growth opportunities. A quantitative version of our model matches several stylized facts about leverage and returns.