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New evidence on the impact of financial leverage on beta risk: A time-series approach

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  • Faff, R. W.
  • Brooks, R. D.
  • Kee, Ho Yew

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  • Faff, R. W. & Brooks, R. D. & Kee, Ho Yew, 2002. "New evidence on the impact of financial leverage on beta risk: A time-series approach," The North American Journal of Economics and Finance, Elsevier, vol. 13(1), pages 1-20, May.
    • Handle: RePEc:eee:ecofin:v:13:y:2002:i:1:p:1-20
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    References listed on IDEAS

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    1. Thompson, Donald J, II, 1976. "Sources of Systematic Risk in Common Stocks," The Journal of Business, University of Chicago Press, vol. 49(2), pages 173-188, April.
    2. Melicher, Ronald W., 1974. "Financial Factors Which Influence Beta Variations within an Homogeneous Industry Environment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(2), pages 231-241, March.
    3. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 07-89, Wharton School Rodney L. White Center for Financial Research.
    4. Bartov, Eli & Bodnar, Gordon M. & Kaul, Aditya, 1996. "Exchange rate variability and the riskiness of U.S. multinational firms: Evidence from the breakdown of the Bretton Woods system," Journal of Financial Economics, Elsevier, vol. 42(1), pages 105-132, September.
    5. repec:bla:jfinan:v:43:y:1988:i:2:p:507-28 is not listed on IDEAS
    6. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. "On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
    7. repec:bla:jfinan:v:44:y:1989:i:2:p:231-62 is not listed on IDEAS
    8. Engle, Robert F & Ng, Victor K, 1993. "Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-1778, December.
    9. Breen, William J & Lerner, Eugene M, 1973. "Corporate Financial Strategies and Market Measures of Risk and Return," Journal of Finance, American Finance Association, vol. 28(2), pages 339-351, May.
    10. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    11. Denis, David J & Kadlec, Gregory B, 1994. "Corporate Events, Trading Activity, and the Estimation of Systematic Risk: Evidence from Equity Offerings and Share Repurchases," Journal of Finance, American Finance Association, vol. 49(5), pages 1787-1811, December.
    12. Mandelker, Gershon N. & Rhee, S. Ghon, 1984. "The Impact of the Degrees of Operating and Financial Leverage on Systematic Risk of Common Stock," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(1), pages 45-57, March.
    13. Conine, Thomas E, Jr, 1980. "Corporate Debt and Corporate Taxes: An Extension," Journal of Finance, American Finance Association, vol. 35(4), pages 1033-1037, September.
    14. DeJong, Douglas V. & Collins, Daniel W., 1985. "Explanations for the Instability of Equity Beta: Risk-Free Rate Changes and Leverage Effects," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(1), pages 73-94, March.
    15. Christie, Andrew A., 1982. "The stochastic behavior of common stock variances : Value, leverage and interest rate effects," Journal of Financial Economics, Elsevier, vol. 10(4), pages 407-432, December.
    16. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-275, May.
    17. Bowman, Rg, 1980. "The Importance Of A Market-Value Measurement Of Debt In Assessing Leverage," Journal of Accounting Research, Wiley Blackwell, vol. 18(1), pages 242-254.
    18. Douglas T. Breeden & Michael R Gibbons & Robert H. Litzenberger, "undated". "Empirical Tests of the Consumption-Oriented CAPM," Rodney L. White Center for Financial Research Working Papers 7-89, Wharton School Rodney L. White Center for Financial Research.
    19. Darrat, Ali F. & Mukherjee, Tarun K., 1995. "Inter-industry differences and the impact of operating and financial leverages on equity risk," Review of Financial Economics, Elsevier, vol. 4(2), pages 141-155.
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    Cited by:

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    2. David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on the Variance of Stock Returns," IJFS, MDPI, vol. 7(1), pages 1-18, March.
    3. Schoder, Christian, 2013. "Credit vs. demand constraints: The determinants of US firm-level investment over the business cycles from 1977 to 2011," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 1-27.
    4. Chen, Tai-Liang & Cheng, Ching-Hsue & Jong Teoh, Hia, 2007. "Fuzzy time-series based on Fibonacci sequence for stock price forecasting," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 380(C), pages 377-390.
    5. Hammoudeh, Shawkat & Sari, Ramazan, 2011. "Financial CDS, stock market and interest rates: Which drives which?," The North American Journal of Economics and Finance, Elsevier, vol. 22(3), pages 257-276.
    6. Kim, Huong Trang & Nguyen, Quang, 2022. "Managers’ loss aversion and firm debt financing: Some insights from Vietnamese SMEs," Finance Research Letters, Elsevier, vol. 44(C).
    7. Ortas, E. & Salvador, M. & Moneva, J.M., 2015. "Improved beta modeling and forecasting: An unobserved component approach with conditional heteroscedastic disturbances," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 27-51.
    8. Colonnello, Stefano, 2020. "Executive compensation, macroeconomic conditions, and cash flow cyclicality," Finance Research Letters, Elsevier, vol. 37(C).
    9. Sarmiento-Sabogal, Julio & Sadeghi, Mehdi, 2014. "Unlevered betas and the cost of equity capital: An empirical approach," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 90-105.
    10. Sulieman Daood Aloshaibat, 2021. "Effect of Financial Leverage on the Financial Performance of Jordanian Public Shareholding Companies: Applied Study on the Financial Sector of Jordan for the Period of 2015-2019," International Journal of Economics and Financial Issues, Econjournals, vol. 11(2), pages 47-51.
    11. Xing, Xuejing, 2004. "A note on the time-series relationship between market industry concentration and market volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(2), pages 105-115, April.
    12. Liu, Hao & Zhang, Hao & Gao, Ya-Chun & Chen, Xu-Dong, 2022. "Firm age and beta: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 77(C), pages 244-261.

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