| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22116 |
| 来源ID | Working Paper 22116 |
| The Risk Anomaly Tradeoff of Leverage | |
| Malcolm Baker; Mathias F. Hoeyer; Jeffrey Wurgler | |
| 发表日期 | 2016-03-28 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Higher-beta and higher-volatility equities do not earn commensurately higher returns, a pattern known as the risk anomaly. In this paper, we consider the possibility that the risk anomaly represents mispricing and develop its implications for corporate leverage. The risk anomaly generates a simple tradeoff theory: At zero leverage, the overall cost of capital falls as leverage increases equity risk, but as debt becomes riskier the marginal benefit of increasing equity risk declines. We show that there is an interior optimum and that it is reached at lower leverage for firms with high asset risk. Empirically, the risk anomaly tradeoff theory and the traditional tradeoff theory are both consistent with the finding that firms with low-risk assets choose higher leverage. More uniquely, the risk anomaly theory helps to explain why leverage is inversely related to systematic risk, holding constant total risk; why leverage is inversely related to upside risk, not just downside risk; why numerous firms maintain low or zero leverage despite high marginal tax rates; and, why other firms maintain high leverage despite little tax benefit. |
| 主题 | Financial Economics ; Corporate Finance |
| URL | https://www.nber.org/papers/w22116 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/579790 |
| 推荐引用方式 GB/T 7714 | Malcolm Baker,Mathias F. Hoeyer,Jeffrey Wurgler. The Risk Anomaly Tradeoff of Leverage. 2016. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w22116.pdf（1176KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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