G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w22116
来源IDWorking 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
URLhttps://www.nber.org/papers/w22116
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/579790
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GB/T 7714
Malcolm Baker,Mathias F. Hoeyer,Jeffrey Wurgler. The Risk Anomaly Tradeoff of Leverage. 2016.
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