Variance of deviation from optimal leverage

被引：0

作者：

Caglayan, Mustafa O. ^{[1
]}

Duarte, Diogo ^{[1
]}

Lu, Xiaomeng ^{[2
]}

机构：

[1] Florida Int Univ, Coll Business, 11200 SW 8th St,229B, Miami, FL 33199 USA

[2] Georgia Coll & State Univ, Coll Business & Technol, Milledgeville, GA USA

来源：

JOURNAL OF FINANCIAL RESEARCH | 2024年

关键词：

CAPITAL STRUCTURE CHOICE; ASSET PRICE DYNAMICS; CROSS-SECTION; MACROECONOMIC CONDITIONS; CORPORATE-INVESTMENT; MARKET EQUILIBRIUM; RISK; EQUITY; ADJUSTMENT; COSTS;

D O I：

10.1111/jfir.12438

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that deviations from the firm's target leverage are priced in the cross-section of stock returns and that the relation between these quantities is nonlinear. The concave nonlinear relation between deviation from the target leverage and next-period return is strong during economic expansions and vanishes during recessions. Our portfolio analysis provides support for the concave relation between deviation from the target leverage and next-period returns as well. We develop a factor named variance of deviation from optimal leverage (VDOL) and show that it is an important risk factor that has been omitted in the literature.

引用

页数：35

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