计量经营杠杆

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-10-04 DOI:10.1093/rapstu/raab025

Chen H, Chen J, Li F, et al.

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引用次数: 0

摘要

摘要我们研究了经营杠杆的一个简单衡量标准:固定成本(折旧和摊销加上销售、一般和管理费用)与资产的市场(或账面)价值的比率。我们发现，这一衡量经营杠杆正预测收益。该经营杠杆指标不受共同因素的影响，优于传统的经营杠杆指标。此外，带有经营杠杆因子的探索性双因素模型至少与Fama和French的五因素模型一样好，但不包含它们。(凝胶g11, g12, g30)

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Measuring Operating Leverage

Abstract

We examine a simple measure of operating leverage: the ratio of fixed costs (measured by depreciation and amortization plus selling, general, and administrative expenses) to the market (or book) value of assets. We find that this measure of operating leverage positively predicts returns. This operating leverage measure is not explained by common factors and performs better than the traditional measures of operating leverage. Furthermore, an exploratory two-factor model with the operating leverage factor works at least as well as, but does not subsume, the Fama and French five-factor model. (JEL G11, G12, G30)

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.