Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence
发现，在控制贝塔和公司规模后，债务权益比率与预期普通股收益正相关，且一月效应显著，但该溢价并非简单的风险溢价。
ABSTRACT The expected common stock returns are positively related to the ratio of debt (noncommon equity liabilities) to equity, controlling for the beta and firm size and including as well as excluding January, though the relation is much larger in January. This relationship is not sensitive to variations in the market proxy, estimation technique, etc. The evidence suggests that the “premium” associated with the debt/equity ratio is not likely to be just some kind of “risk premium”.