Using Firm-Level Leverage as an Investment Strategy

被引：13
|
作者：
Muradoglu, Yaz Gulnur [1 ]
Sivaprasad, Sheeja [2 ]
机构：
[1] City Univ London, Cass Business Sch, London EC1Y 8TZ, England
[2] Westminster Business Sch, London NW1 5LS, England
来源：
JOURNAL OF FORECASTING | 2012年 / 31卷 / 03期
关键词：
leverage; capital structure; stock returns; industry; investment strategy; risk; size; OPTIMAL CAPITAL STRUCTURE; STOCK RETURNS; MARKET; CORPORATE; FORECASTS; RISK; EQUILIBRIUM; VARIABLES; COST;
D O I：
10.1002/for.1221
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We use an investment strategy based on firm-level capital structures. Investing in low-leverage firms yields abnormal returns of 4.43% per annum. If an investor holds a portfolio of low-leverage and low-market-to-book-ratio firms, abnormal returns increase to 16.18% per annum. A portfolio of low leverage and low market risk yields abnormal returns of 6.67% and a portfolio of small firms with low leverage earns 5.37% per annum. We use the Fama-Macbeth (1973) methodology with modifications. We confirm that portfolios based on low leverage earn higher returns in longer investment horizons. Our results are robust to other risk factors and the risk class of the firm. Copyright (C) 2011 John Wiley & Sons, Ltd.
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页码：260 / 279
页数：20
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