The Industry Effect on the Relationship between Leverage and Returns
This paper aims to investigate the impact of leverage on stock returns. The analysis is performed both on a full sample basis and on an industry basis. Industry class is generally considered as an important risk factor. The sample used consisted of Italian listed non financial companies over the period 2000/12-2010/3. The main contribution of our work is that we enhance the capital structure studies by broadening the limited work that has been accomplished on the base of leverage as an explanatory variable of returns, in a totally different environment, that of a county of the South European region. The empirical findings, on the full sample, show that the leverage risk factor presents a strong - positive and statistically significant relationship with stock returns at the medium and high levered deciles. At the industry level analysis the leverage factor has a positive relation with excess returns for most industries. Overall, leverage in Italy is a priced risk factor.
Volume (Year): 1 (2011)
Issue (Month): 2 (Fall)
|Contact details of provider:|| Phone: 90 (212) 220 54 51|
Fax: 90 (212) 220 54 52
Web page: http://www.ebesweb.org/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:ebz:ebrjrn:v:1:y:2011:i:2:p:125-144. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.