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What Drives the Value Premium?: The Role of Asset Risk and Leverage

Citations

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Cited by:

  1. Chaderina, Maria & Weiss, Patrick & Zechner, Josef, 2022. "The maturity premium," Journal of Financial Economics, Elsevier, vol. 144(2), pages 670-694.
  2. Júlio Lobão & Marcos Azeredo, 2018. "Momentum meets value investing in a small European market," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(1), pages 45-58, March.
  3. Euikyu Choi & Wei Du & Michael Malcolm, 2019. "The cost of the travel ban to high-tech firms: An event study," Economics Bulletin, AccessEcon, vol. 39(1), pages 64-72.
  4. Liu, Hao & Gao, Ya-Chun, 2019. "The impact of corporate lifecycle on Fama–French three-factor model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 390-398.
  5. Cho, Thummim, 2020. "Turning alphas into betas: arbitrage and endogenous risk," LSE Research Online Documents on Economics 102085, London School of Economics and Political Science, LSE Library.
  6. Efdal Ulas Misirli, 2018. "Productivity Risk and Industry Momentum," Financial Management, Financial Management Association International, vol. 47(3), pages 739-774, September.
  7. Galvani, Valentina, 2021. "The value premium during flights," Finance Research Letters, Elsevier, vol. 39(C).
  8. Adam Zaremba & Jacob Koby Shemer, 2018. "Price-Based Investment Strategies," Springer Books, Springer, number 978-3-319-91530-2, July.
  9. Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
  10. Qiu, Muqing & Bai, Yunxia & Chen, Taoqin, 2024. "The impact of asset-liability maturity mismatch on stock returns: Evidence from China during 1998–2021," Pacific-Basin Finance Journal, Elsevier, vol. 85(C).
  11. Cho, Thummim, 2018. "Turning alphas into betas: arbitrage and the cross-section of risk," LSE Research Online Documents on Economics 118915, London School of Economics and Political Science, LSE Library.
  12. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
  13. Nudrat Fatima & Muhammad Waqas & Rameez Hassan & Ahmad Fraz & Muhammad Arif, 2017. "Cash to Price Ratio & Stock Returns: Evidence from Emerging Markets," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 9(11), pages 153-162, November.
  14. Claassen, Bart & Dam, Lammertjan & Heijnen, Pim, 2023. "Corporate financing policies, financial leverage, and stock returns," The North American Journal of Economics and Finance, Elsevier, vol. 68(C).
  15. Jun Li & Huijun Wang & Jianfeng Yu, 2021. "The expected investment growth premium," Financial Management, Financial Management Association International, vol. 50(4), pages 905-933, December.
  16. Davide E Avino & Enrique Salvador, 2024. "Contingent Claims and Hedging of Credit Risk with Equity Options," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 14(2), pages 310-348.
  17. Campello, Murillo & Connolly, Robert A. & Kankanhalli, Gaurav & Steiner, Eva, 2022. "Do real estate values boost corporate borrowing? Evidence from contract-level data," Journal of Financial Economics, Elsevier, vol. 144(2), pages 611-644.
  18. Assaf Eisdorfer & Efdal Ulas Misirli, 2020. "Distressed Stocks in Distressed Times," Management Science, INFORMS, vol. 66(6), pages 2452-2473, June.
  19. de Oliveira Souza, Thiago, 2020. "Observable implications of the conditional CAPM," Discussion Papers on Economics 13/2020, University of Southern Denmark, Department of Economics.
  20. Jean Helwege & Jing-Zhi Huang & Yuan Wang, 2017. "Debt Covenants and Cross-Sectional Equity Returns," Management Science, INFORMS, vol. 63(6), pages 1835-1854, June.
  21. Choi, Jaewon & Richardson, Matthew, 2016. "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, vol. 121(2), pages 254-277.
  22. Colonnello, Stefano, 2020. "Executive compensation, macroeconomic conditions, and cash flow cyclicality," Finance Research Letters, Elsevier, vol. 37(C).
  23. Choi, Jaewon & Kim, Yongjun, 2018. "Anomalies and market (dis)integration," Journal of Monetary Economics, Elsevier, vol. 100(C), pages 16-34.
  24. Alles Rodrigues, Alexandre & Casalin, Fabrizio, 2022. "Factor investing in Brazil: Diversifying across factor tilts and allocation strategies," Emerging Markets Review, Elsevier, vol. 52(C).
  25. Im, Hyun Joong & Kang, Ya & Shon, Janghoon, 2020. "How does uncertainty influence target capital structure?," Journal of Corporate Finance, Elsevier, vol. 64(C).
  26. Fukuta, Yuichi & Yamane, Akiko, 2015. "Value premium and implied equity duration in the Japanese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 102-121.
  27. Sebastien Valeyre & Sofiane Aboura & Denis Grebenkov, 2019. "The Reactive Beta Model," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 42(1), pages 71-113, March.
  28. Michael Hasler & Charles Martineau, 2023. "Explaining the Failure of the Unconditional CAPM with the Conditional CAPM," Management Science, INFORMS, vol. 69(3), pages 1835-1855, March.
  29. Zhiyao Chen & Ilya A. Strebulaev & Yuhang Xing & Xiaoyan Zhang, 2021. "Strategic Risk Shifting and the Idiosyncratic Volatility Puzzle: An Empirical Investigation," Management Science, INFORMS, vol. 67(5), pages 2751-2772, May.
  30. David Yechiam Aharon & Yossi Yagil, 2019. "The Impact of Financial Leverage on the Cost of Equity," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 175-188.
  31. Luis García‐Feijóo & Benjamin A. Jansen, 2023. "International evidence on the association of leverage with stock returns and the value premium," The Financial Review, Eastern Finance Association, vol. 58(2), pages 315-341, May.
  32. Mohammed M Elgammal & David G McMillan, 2014. "Value premium and default risk," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 48-61, February.
  33. Chen, Zhiyao & Hackbarth, Dirk & Strebulaev, Ilya A., 2022. "A unified model of distress risk puzzles," Journal of Financial Economics, Elsevier, vol. 146(2), pages 357-384.
  34. Woltering, René-Ojas & Weis, Christian & Schindler, Felix & Sebastian, Steffen, 2018. "Capturing the value premium – global evidence from a fair value-based investment strategy," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 53-69.
  35. Rath, Subhrendu & Durand, Robert B., 2015. "Decomposing the size, value and momentum premia of the Fama–French–Carhart four-factor model," Economics Letters, Elsevier, vol. 132(C), pages 139-141.
  36. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
  37. Hyuna Park, 2019. "Intangible assets and the book‐to‐market effect," European Financial Management, European Financial Management Association, vol. 25(1), pages 207-236, January.
  38. Nils Friewald & Florian Nagler & Christian Wagner, 2022. "Debt Refinancing and Equity Returns," Journal of Finance, American Finance Association, vol. 77(4), pages 2287-2329, August.
  39. Huynh, Thanh D., 2017. "Conditional asset pricing in international equity markets," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 168-189.
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