作者：Dhaliwal, Dan; Heitzman, Shane; Li, Oliver Zhen
作者单位：University of Arizona; University of Auckland; University of Rochester; University of Notre Dame
摘要：We examine the associations among leverage, corporate and investor level taxes, and the firm's implied cost of equity capital. Expanding on Modigliani and Miller [ 1958, 1963], the cost of equity capital can be expressed as a function of leverage and corporate and investor level taxes. Based on this expression, we predict that the cost of equity is increasing in leverage, and that corporate taxes mitigate this leverage-related risk premium, while the personal tax disadvantage of debt increases...
作者：Narayanamoorthy, Ganapathi
作者单位：Yale University
摘要：Accounting conservatism allows me to identify a previously undocumented source of predictable cross-sectional variation in Standardized Unexpected Earnings' autocorrelations viz. the sign of the most recent earnings realization and present evidence that the market ignores this variation (loss effect). It is possible to earn returns higher than from the Bernard and Thomas (1990) strategy by incorporating this feature. Additionally, the paper shows that the loss effect is different from the cros...
