发帖
雷达卡
Financial Leverage and the Leverage Effect - A Market and Firm ,
I am not sure about whether u guys can find it on Chinese Google,
but just download it from a UK website. I hope it may helpful to u all.
ABSTRACT:
We quantify the effect of financial leverage on stock return volatility in a dynamic general
equilibrium economy with debt and equity claims. The effect of financial leverage is studied both
at a market and a firm level where the firm is exposed to both idiosyncratic and market risk.
In a benchmark economy with both a constant interest rate and constant price of risk, financial
leverage generates little variation in stock return volatility at the market level but significant
variation at the individual firm level. In an economy that generates time-variation in interest
rates and the price of risk, there is significant variation in stock return volatility at the market
and firm level. In such an economy, financial leverage has little effect on the dynamics of stock
return volatility at the market level. Financial leverage contributes more to the dynamics of
stock return volatility for a small firm.Keywords: stock volatility, leverage effect, corporate debt, general equilibrium
京公网安备 11010802022788号
