Book-to-Market Equity, Financial Leverage, and the Cross-Section of Stock Returns
提出一个动态公司模型，将经营杠杆与价值溢价和账面杠杆溢价联系起来，发现价值型公司是低生产率公司，具有高经营杠杆或高财务杠杆，且经营杠杆显著时价值溢价为正、账面杠杆溢价为负。
I propose a new dynamic model of the firm that links operating leverage to both value premium and book-leverage premium in stock returns. Value firms are low-productivity firms with either high operating leverage or high financial leverage. Firms with high operating leverage maintain low book leverage ratios. When operating leverage is economically significant, both value firms and low book-leverage firms can have high equity risk premiums. In particular, value premium becomes positive while book-leverage premium becomes negative. Without operating leverage, the signs of these premiums are reversed. The model captures quantitatively several important properties of the cross-section of stock returns. The Author 2013. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.