Financial Leverage, Corporate Investment, and Stock Returns
用一个公司融资和投资模型，解释了不同账面市值比组合中市场杠杆、账面杠杆、账面市值比和股票收益的实证规律，发现税收利息抵扣增加投资不可逆性，从而削弱账面市值比与收益的关系，并证明市场杠杆是价值溢价的主要解释因素。
This article rationalizes empirical patterns of market leverage, book leverage, book-to-market ratios, and stock returns across different book-to-market portfolios, using a model of firm financing and investment. The model analytically shows that tax deductibility of interest payments increases effective investment irreversibility and that investment irreversibility weakens the relation between book-to-market values and returns. This provides a clear and novel mechanism showing how financial leverage affects stock returns beyond the standard Modigliani-Miller paradigm. The article argues that market leverage, rather than operating leverage or investment irreversibility, explains a major portion of the value premium. Empirical evidence supports this argument. The Author 2012. 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.