| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w22150 |
| 来源ID | Working Paper 22150 |
| Levered Returns | |
| Ivo Welch | |
| 发表日期 | 2016-04-11 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | Do financial markets properly reflect leverage? Unlike Gomes and Schmid (2010) who examine this question with a structural approach (using long-term monthly stock characteristics), my paper examines it with a quasi-experimental approach (using short-term a discrete event). After a firm has declared a dividend (i.e., after the news release), but in the few days that precede the payment date, an investor in the traded equity owns a claim to the dividend cash plus the remaining firm equity within the corporate shell. After the payment date, the shell contains only the dividend-sans-cash firm equity. The empirical evidence confirms rational increases in volatilities but shows unexpected decreases in average returns. The best explanation is behavioral. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Corporate Finance |
| URL | https://www.nber.org/papers/w22150 |
| 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/579824 |
| 推荐引用方式 GB/T 7714 | Ivo Welch. Levered Returns. 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 | ||
| w22150.pdf（260KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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