Debt Covenants and Cross-Sectional Equity Returns
研究发现，债务契约保护较弱的公司（契约指数较低）比保护较强的公司获得显著更高的风险调整后股票收益，且该效应在股东与债权人代理问题更严重时更明显。
This paper investigates the impact of debt covenant protection on the cross section of equity returns with a firm-level covenant index and four subindices. We find that firms with weaker covenant protection (lower covenant index levels) earn significantly higher risk-adjusted equity returns than do those firms with greater covenant protection. These results are stronger for covenant indices that are related to investments, subsequent financing, and event risk. The difference between high and low covenant index stocks is more pronounced when agency problems between shareholders and debtholders are more severe, suggesting that the covenant effect arises from an inability to control shareholder risk taking. This paper was accepted by Wei Jiang, finance.