Asset Variance Risk Premium and Capital Structure
研究了资产收益的方差风险溢价如何降低企业杠杆，通过提高风险中性破产概率和成本，模型校准和回归分析证实了负相关关系，尤其对投资级公司影响显著。
Abstract This article investigates how the asset-return variance risk premium changes leverage. I find that the premium reduces leverage by increasing risk-neutral bankruptcy probability and costs in a model where asset returns have stochastic variance with the risk premium. Empirically, the model calibrations verify a significant reduction in optimal leverage, closer to observed leverage than the model without the premium. In model-free regressions, I document that leverage correlates negatively with the variance premium. The highest negative correlation is among investment-grade firms with low asset beta and historical variance but high variance premiums because their assets have high exposure to the market’s variance premium.