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Inter-industry differences and the impact of operating and financial leverages on equity risk

  • Darrat, Ali F.
  • Mukherjee, Tarun K.
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    File URL: http://www.sciencedirect.com/science/article/B6W61-46WMTST-P/2/43ea53038e672504dba9629f4383458b
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    Article provided by Elsevier in its journal Review of Financial Economics.

    Volume (Year): 4 (1995)
    Issue (Month): 2 ()
    Pages: 141-155

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    Handle: RePEc:eee:revfin:v:4:y:1995:i:2:p:141-155
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620170

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    1. 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.
    2. Brennan, M J, 1979. "The Pricing of Contingent Claims in Discrete Time Models," Journal of Finance, American Finance Association, vol. 34(1), pages 53-68, March.
    3. 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.
    4. Caines, P. E. & Keng, C. W. & Sethi, S. P., 1981. "Causality analysis and multivariate Autoregressive modelling with an application to supermarket sales analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 3(1), pages 267-298, November.
    5. Lupoletti, William M & Webb, Roy H, 1986. "Defining and Improving the Accuracy of Macroeconomic Forecasts: Contributions from a VAR Model," The Journal of Business, University of Chicago Press, vol. 59(2), pages 263-85, April.
    6. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    7. Jacobs, Rodney L & Leamer, Edward E & Ward, Michael P, 1979. "Difficulties with Testing for Causation," Economic Inquiry, Western Economic Association International, vol. 17(3), pages 401-13, July.
    8. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    9. Sephton, Peter S., 1988. "On interest rate innovations and anticipated monetary policy," Economics Letters, Elsevier, vol. 28(2), pages 177-180.
    10. Lutkepohl, Helmut, 1982. "Non-causality due to omitted variables," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 367-378, August.
    11. Zellner, Arnold, 1979. "Causality and econometrics," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 10(1), pages 9-54, January.
    12. Christopher A. Sims, 1982. "Policy Analysis with Econometric Models," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 13(1), pages 107-164.
    13. 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.
    14. Greenberg, Edward & Marshall, William J & Yawitz, Jess B, 1978. "The Technology of Risk and Return," American Economic Review, American Economic Association, vol. 68(3), pages 241-51, June.
    15. Lev, Baruch, 1974. "On the Association between Operating Leverage and Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(04), pages 627-641, September.
    16. 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(02), pages 231-241, March.
    17. Plosser, Charles I., 1987. "Fiscal policy and the term structure," Journal of Monetary Economics, Elsevier, vol. 20(2), pages 343-367, September.
    18. Roy H. Webb, 1984. "Vector autoregressions as a tool for forecast evaluations," Economic Review, Federal Reserve Bank of Richmond, issue Jan, pages 3-11.
    19. Granger, C. W. J., 1980. "Testing for causality : A personal viewpoint," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 329-352, May.
    20. Ahking, Francis W. & Miller, Stephen M., 1985. "The relationship between government deficits, money growthm and inflation," Journal of Macroeconomics, Elsevier, vol. 7(4), pages 447-467.
    21. Eichenbaum, Martin, 1985. "Vector autoregressions for causal inference? comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 305-318, January.
    22. Barnhart, Scott W. & Darrat, Ali F., 1989. "Federal deficits and money growth in the United States : A vector autoregressive analysis," Journal of Banking & Finance, Elsevier, vol. 13(1), pages 137-149, March.
    23. Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February.
    24. Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November.
    25. Dugan, Michael T & Shriver, Keith A, 1989. "The Effects of Estimation Period, Industry, and Proxy on the Calculation of the Degree of Operating Leverage," The Financial Review, Eastern Finance Association, vol. 24(1), pages 109-22, February.
    26. Stanley Fischer, 1981. "Relative Shocks, Relative Price Variability, and Inflation," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 12(2), pages 381-442.
    27. Huffman, Lucy, 1983. "Operating leverage, financial leverage, and equity risk," Journal of Banking & Finance, Elsevier, vol. 7(2), pages 197-212, June.
    28. Hsiao, Cheng, 1981. "Autoregressive modelling and money-income causality detection," Journal of Monetary Economics, Elsevier, vol. 7(1), pages 85-106.
    29. Fackler, James S, 1985. "An Empirical Analysis of the Markets for Goods, Money, and Credit," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(1), pages 28-42, February.
    30. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
    31. Leamer, Edward E., 1985. "Vector autoregressions for causal inference?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 22(1), pages 255-304, January.
    32. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
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