Arbeitspapier
Levered returns and capital structure imbalances
We revisit the relation between equity returns and financial leverage through the lens of a dynamic trade-off model with costly capital structure rebalancing. The model predicts that expected equity returns depend on whether a firm's leverage is above or below its target leverage. We provide empirical evidence in support of the model predictions. Controlling for leverage, overlevered (underlevered) firms earn higher (lower) returns. A quantitative version of our model reproduces key facts about capital structure rebalancing and equity returns for U.S. corporations. Overall, our results indicate that financial flexibility crucially affects the link between leverage and equity returns.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. WP 2022-42
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- Thema
-
leverage
cross section of returns
target leverage
dynamic capital structure
financial frictions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ippolito, Filippo
Steri, Roberto
Tebaldi, Claudio
Villa, Alessandro T.
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Chicago
- (wo)
-
Chicago, IL
- (wann)
-
2022
- DOI
-
doi:10.21033/wp-2022-42
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ippolito, Filippo
- Steri, Roberto
- Tebaldi, Claudio
- Villa, Alessandro T.
- Federal Reserve Bank of Chicago
Entstanden
- 2022
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