Can Operating Leverage Be the Cause of the Value Premium?

被引：65

作者：

Garcia-Feijoo, Luis ^{[1
]}

Jorgensen, Randy D. ^{[2
]}

机构：

[1] Florida Atlantic Univ, Davie, FL USA

[2] Creighton Univ, Omaha, NE 68178 USA

来源：

FINANCIAL MANAGEMENT | 2010年 / 39卷 / 03期

关键词：

SYSTEMATIC-RISK; FINANCIAL LEVERAGE; CROSS-SECTION; CAPITAL STRUCTURE; SECURITY RETURNS; GROWTH OPTIONS; DELISTING BIAS; STOCK RETURNS; EQUITY RISK; INVESTMENT;

D O I：

10.1111/j.1755-053X.2010.01106.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Recent theoretical models (Carlson, Fisher, and Giammarino, 2004) predict an association between the book-to-market equity ratio (BE/ME) and operating leverage in the cross-section. Consistent with these models, we find a positive association between BE/ME and the degree of operating leverage (DOL), between DOL and stock returns, and between DOL and systematic risk. Overall, our findings provide support for a risk-based explanation for the value premium that is consistent with existing theoretical models. The evolution of systematic risk associated with firm-level investment activity, rather than financial distress, seems to be the main determinant of the value premium.

引用

页码：1127 / 1153

页数：27

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