Financial Leverage and Stock Return Comovement_JFM_Quan Minh Pham Nguyen.pdf (969.86 kB)
Financial leverage and stock return comovement
journal contribution
posted on 2023-06-10, 05:31 authored by Quan Pham Minh NguyenQuan Pham Minh Nguyen, Hung X Do, Nhut H NguyenLeverage-initiating stocks experience an increase in return comovement with leveraged stocks and a decrease in return comovement with zero-leverage stocks in the year after the leverage initiation event. Conversely, stocks that fully deleverage comove more with their new peers of zero-leverage stocks and less with their old peers of leveraged stocks. These findings are robust after controlling for common factors and firm characteristics and using various time series and events as exogenous shocks to corporate leverage decisions. Our findings can be explained by investor clienteles for financial leverage and are not driven by omitted variables and other characteristic-induced comovements.
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- Published
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- Accepted version
Journal
Journal of Financial MarketsISSN
1386-4181Publisher
ElsevierExternal DOI
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60Page range
a100699 1-27Department affiliated with
- Accounting and Finance Publications
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- No
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- Yes
Legacy Posted Date
2022-11-23First Compliant Deposit (FCD) Date
2022-11-22Usage metrics
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