What explains the value premium? The case of adjustment costs, operating leverage and financial leverage

被引：16
|
作者：
Cao, Viet Nga [1 ]
机构：
[1] Monash Univ, Caulfield, Vic 3145, Australia
来源：
JOURNAL OF BANKING & FINANCE | 2015年 / 59卷
关键词：
Value premium; Investment irreversibility; Adjustment costs; Operating leverage; Financial leverage; ASSET-PRICING ANOMALIES; TO-MARKET EQUITY; STOCK RETURNS; CROSS-SECTION; DISTRESS RISK; CORPORATE-INVESTMENT; SYSTEMATIC-RISK; DEFAULT RISK; SUNK COSTS; IRREVERSIBILITY;
D O I：
10.1016/j.jbankfin.2015.04.033
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper empirically examines and compares the different theoretical predictions on how adjustment costs, operating and financial leverage influence the value premium. Consistent with Ozdagli (2012), financial leverage plays a dominant role, supported by adjustment costs (which represent the degree of investment irreversibility). Specifically, the observed value premium is driven by the financial leverage differences between value and growth firms, partially neutralized by investment irreversibility. The relation between the value premium and investment irreversibility is contrary to the intuition in Zhang (2005) and Cooper (2006). Operating leverage does not significantly influence the value premium. (C) 2015 Elsevier B.V. All rights reserved.
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页码：350 / 366
页数：17
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