Price of Regulations: Regulatory Costs and the Cross-section of Stock Returns
研究发现监管带来的固定成本增加了企业的经营杠杆，并产生风险溢价；通过构建“监管经营杠杆”指标，该指标能预测股票回报的截面差异，且做多高杠杆、做空低杠杆的策略可获得显著的风险调整后收益。
Abstract Regulations introduce significant fixed costs and add to operating leverage. Fixed regulatory costs that contribute to operating leverage should generate a risk premium. To explore whether such a premium exists, we introduce a measure of “regulatory operating leverage” that reflects the importance of fixed regulatory costs in a firm’s cost structure. Regulatory operating leverage predicts stock returns in the cross-section, and a zero-cost high-low regulatory operating leverage strategy generates positive and significant risk-adjusted return. Finally, the impact of regulatory operating leverage on returns is due to the (systematic) risk contribution of fixed regulatory costs.