Journal Article10.1111/J.1540-6261.1988.TB03952.X
Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
TL;DR: The authors found that the expected common stock returns are positively related to the ratio of debt (noncommon equity liabilities) to equity, controlling for the beta and firm size and including as well as excluding January, though the relation is much larger in January.
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Abstract: The expected common stock returns are positively related to the ratio of debt (noncommon equity liabilities) to equity, controlling for the beta and firm size and including as well as excluding January, though the relation is much larger in January. This relationship is not sensitive to variations in the market proxy, estimation technique, etc. The evidence suggests that the “premium” associated with the debt/equity ratio is not likely to be just some kind of “risk premium”.
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Citations
The Classical Approaches to Testing the Unconditional CAPM: UK Evidence
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Performance financière et choix d'actifs responsables : une analyse du marché américain
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TL;DR: In this article, the authors show that the performance responsable peut contribuer a l'amelioration de la performance financiere for an investisseur, i.e., the reduction of actes d'irresponsabilite peut neanmoins ameliorer the performance of a company.
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How did the 2007-2008 Financial Crisis Influence Turkish Firms
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The Effect of Size, Book-to-Market Ratio, and Prior Distress Information on the Excess Returns to Debt Restructuring Firms
TL;DR: In this article, the authors examined the intertemporal and cross-sectional excess return patterns in financially distressed firms that attempt to restructure their debt privately and found that the abnormal returns are not merely a compensation for higher risk or due to market mispricing of these value stocks, but instead, the announcement seems to provide an unexpected, favorable signal for larger firms whose financial distress has already been disseminated.
5
References
Efficient capital markets: a review of theory and empirical work*
TL;DR: Efficient Capital Markets: A Review of Theory and Empirical Work Author(s): Eugene Fama Source: The Journal of Finance, Vol. 25, No. 2, Papers and Proceedings of the Twenty-Eighth Annual Meeting of the American Finance Association New York, N.Y. December, 28-30, 1969 (May, 1970), pp. 383-417 as mentioned in this paper
•Journal Article
The Cost of Capital, Corporation Finance and the Theory of Investment
TL;DR: In this article, the effect of financial structure on market valuations has been investigated and a theory of investment of the firm under conditions of uncertainty has been developed for the cost-of-capital problem.
Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
The relationship between return and market value of common stocks
TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.
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The Advanced Theory of Statistics.
G. M. Clarke,Maurice G. Kendall,Alan Stuart +2 more
- 01 Jan 1978
6.8K