监管的代价：监管成本与股票回报率横截面

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2024-01-11 DOI:10.1093/rapstu/raae001

Baris Ince, Han Ozsoylev

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引用次数: 0

摘要

监管引入了大量固定成本，增加了经营杠杆。增加经营杠杆的固定监管成本应产生风险溢价。为了探讨这种溢价是否存在，我们引入了 "监管经营杠杆 "这一指标，以反映固定监管成本在公司成本结构中的重要性。监管经营杠杆在横截面上可以预测股票回报率，零成本高监管经营杠杆策略会产生积极而显著的风险调整回报率。最后，监管经营杠杆对回报率的影响是由于固定监管成本的（系统性）风险贡献。（JEL G12、G18、G28）

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Price of Regulations: Regulatory Costs and the Cross-section of Stock Returns

Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of “regulatory operating leverage” that reflects the importance of fixed regulatory costs in a firm’s cost structure. Regulatory operating leverage predicts stock returns in the cross-section, and a zero-cost high-low regulatory operating leverage strategy generates positive and significant risk-adjusted return. Finally, the impact of regulatory operating leverage on returns is due to the (systematic) risk contribution of fixed regulatory costs. (JEL G12, G18, G28)

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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.