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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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File URL: http://www.sciencedirect.com/science/article/B6W5T-45BHN4P-1/2/85b701b36f73e7e3f0304dbce89d0fd2
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Bibliographic Info

Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 13 (2002)
Issue (Month): 1 (May)
Pages: 1-20

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Handle: RePEc:eee:ecofin:v:13:y:2002:i:1:p:1-20

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Web page: http://www.elsevier.com/locate/inca/620163

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References

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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 173-88, April.
  2. 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 1749-78, December.
  3. Eli Bartov & Gordon M. Bodnar & Aditya Kaul, 1995. "Exchange Rate Variability and the Riskiness of U.S. Multinational Firms:Evidence from the Breakdown of the Bretton Woods System," NBER Working Papers 5323, National Bureau of Economic Research, Inc.
  4. 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.
  5. 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(01), pages 73-94, March.
  6. 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 339-51, May.
  7. Bhandari, Laxmi Chand, 1988. " Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence," Journal of Finance, American Finance Association, vol. 43(2), pages 507-28, June.
  8. 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.
  9. 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.
  10. Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis.
  11. 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(01), pages 45-57, March.
  12. Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
  13. Conine, Thomas E, Jr, 1980. " Corporate Debt and Corporate Taxes: An Extension," Journal of Finance, American Finance Association, vol. 35(4), pages 1033-37, September.
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Cited by:
  1. 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.

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