Variance of deviation from optimal leverage

IF 2.3 3区经济学 Q3 BUSINESS, FINANCE

Journal of Financial Research Pub Date : 2024-09-24 DOI:10.1111/jfir.12438

Mustafa O. Caglayan, Diogo Duarte, Xiaomeng Lu

引用次数: 0

Abstract

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.

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偏离最优杠杆的方差

我们表明，偏离公司的目标杠杆是定价在股票收益的横截面，这些数量之间的关系是非线性的。偏离目标杠杆与下一时期收益之间的非线性凹形关系在经济扩张期间很强，在经济衰退期间消失。我们的投资组合分析也为偏离目标杠杆与下一时期收益之间的凹形关系提供了支持。我们开发了一个因子，称为偏离最优杠杆方差（VDOL），并表明它是一个重要的风险因素，在文献中被忽略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Research BUSINESS, FINANCE-

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： The Journal of Financial Research(JFR) is a quarterly academic journal sponsored by the Southern Finance Association (SFA) and the Southwestern Finance Association (SWFA). It has been continuously published since 1978 and focuses on the publication of original scholarly research in various areas of finance such as investment and portfolio management, capital markets and institutions, corporate finance, corporate governance, and capital investment. The JFR, also known as the Journal of Financial Research, provides a platform for researchers to contribute to the advancement of knowledge in the field of finance.