Financial leverage and stock returns
Evidence from an emerging economy
Bibliographic Data
| ID | 15068166 |
|---|---|
| Authors | Nazrat Mirza (0000-0003-4265-9519, Department of Finance, SP Jain School of Global Management, Dubai Campus, Dubai, UAE, corresponding author), Birjees Rahat (0000-0001-9746-4837, Ratings and Criteria, JCR VIS Credit Rating Company, Lahore, Pakistan), Krishna Reddy (0000-0002-7812-9141, University of Waikato), Krishna P Reddy (0000-0002-1832-2193, Waikato Management School, University of Waikato, Hamilton, New Zealand) |
| Year | 2016 |
| Volume | 29 |
| Issue | 1 |
| Pages | 85-100 |
| Publication date | 2016-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2016.1160792 |
| OpenAlex | W2340463081 |
| Language | EN |
| Citations received | 1 |
| References cited | 26 |
The aim of this research was to examine the propositions of Campbell et al. and Mirza et al. on pricing of leverage in stock returns using a comprehensive set of firms listed on the Karachi Stock Exchange (KSE) over a period of 13 years. Our results suggest that while size, value and, more importantly, financial leverage are systematic in nature, market risk premium is not a relevant factor. The results confirm the notion of leverage premium and have important implications for financial managers, investment analysts and other market participants who use asset pricing frameworks for investment appraisals. These findings have global relevance, notably for other emerging and developing economies where default risk is of importance due to cyclical nature of cash flows and low recovery rates owing to weaknesses of legal structure
Business · Capital asset pricing model · Cash flow · Economics · Emerging markets · Financial economics · Financial risk · Monetary economics · Operating leverage · Risk premium · Stock exchange · Stock market · Value premium · Corporate Finance and Governance · Financial Markets and Investment Strategies · Financial Reporting and Valuation Research · Finance
The arbitrage theory of capital asset pricing
A five-factor asset pricing model
An Intertemporal Capital Asset Pricing Model
Liquidity Preference as Behavior Towards Risk
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
The Pricing of Size, Book to Market and Financial Leverage in Euro Stocks
Interest Rate Spreads in an Emerging Economy
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,33 |
| Citation span | 2023 - 2023 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |