The Importance of a Market-Value Measurement of Debt in Assessing Leverage
指出理论用市场价值衡量杠杆，但实证多用账面价值，并直接检验两者在系统风险关联测试中的可比性，对关注杠杆与风险关系的学者有参考价值。
Leverage (debt-to-equity ratio) is an important variable in issues concerning the risk of a firm and its securities. Hamada [1969] has demonstrated theoretically the relationship between leverage and systematic risk.' Numerous empirical studies have found that leverage is a significant variable in association tests on risk. Yet there is a glaring disparity between the theoretical results and the empirical tests. The theory is based on market-value measures of debt and leverage. With few exceptions, the empirical tests use book-value (accounting) measures.2 Although these studies have generally found leverage to be highly associated with systematic risk, there has been no means to evaluate the potential effect of using the book-value measurement as a surrogate for the market-value measurement. This study provides direct empirical evidence on the comparability of the book-value and market-value measures of leverage in association tests on systematic risk. The first section of this paper provides a brief presentation of the