Leverage and the Cross‐Section of Equity Returns
基于资产定价理论，研究市场风险、规模、账面市值比和波动率异常在无杠杆股票收益横截面中的作用，发现杠杆导致收益异方差，去除杠杆后这些异常减弱或消失。
ABSTRACT Building on theoretical asset pricing literature, we examine the role of market risk and the size, book‐to‐market (BTM), and volatility anomalies in the cross‐section of unlevered equity returns. Compared with levered (stock) returns, unlevered market beta plays a more important role in explaining the cross‐section of unlevered equity returns, even after controlling for size and BTM. The size effect is weakened, while the value premium and the volatility puzzle virtually disappear for unlevered returns. We show that leverage induces heteroskedasticity in returns. Unlevering returns removes this pattern, which is otherwise difficult to address by controlling for leverage in regressions.