Mirza, Nawazish and Saeed, Mawal Sara and Rizvi, Kumail Abbas (2013) The pricing of size, book to market and financial leverage in Euro stocks. Ekonomska istraživanja (2). pp. 177-190. ISSN 1331-677X
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Sažetak
The relevance of financial leverage in a firm’s capital structure holds great significance, however its role in asset pricing remains under investigated. In this paper we investigate if financial leverage is priced employing a sample of listed equities from nine European Union countries spanning over a period of twenty years (1989 - 2008). We form size, book to market, and leverage portfolios, to examine if leverage premium is systematic and whether augmenting the three factor model by including leverage variable would better explain the portfolio returns. Moreover, the paper investigates if size and value will capture financial distress in the presence of a superior measure based on net leverage. Our results suggest that the explanatory power of a four factor model is substantially superior to the "vanilla" version of a three factor model. Despite significant size and book to market coefficients, we could not find evidence that size and book to market factor capture financial distress in presence of a leverage mimicking factor.
| Tip objekta: | Članak |
|---|---|
| Mentor: | NIJE ODREĐENO |
| Dodatne informacije: | 26/2 |
| Ključni pojmovi: | book to market, size premium, value premium, financial leverage |
| Teme: | 3 Društvene znanosti > 33 Ekonomija. Ekonomska znanost > 336 Financije. Uključujući: Javne financije. Bankarstvo. Novac > 336.7 Novac. Monetarni sustav. Bankarstvo. Burze > 336.763 Vrijednosnice |
| Odjeli: | Fakultet ekonomije i turizma "Dr. Mijo Mirković" |
| Datum pohrane: | 04 Pro 2013 10:56 |
| Zadnja promjena: | 04 Pro 2013 10:56 |
| URI: | http://eknjiznica.unipu.hr/id/eprint/2510 |
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