Measuring Operating Leverage

被引:0
作者
Chen, Huafeng [1 ]
Chen, Jason V. [2 ]
Li, Feng [3 ]
Li, Pengfei [4 ]
机构
[1] Fudan Univ, FISF, Shanghai, Peoples R China
[2] Univ Illinois, Chicago, IL 60607 USA
[3] Shanghai Jiao Tong Univ, Shanghai Adv Inst Finance, Shanghai, Peoples R China
[4] Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R China
基金
中国国家自然科学基金;
关键词
FINANCIAL LEVERAGE; CROSS-SECTION; INVESTMENT; RISK;
D O I
10.1093/rapstu/raab025
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We examine a simple measure of operating leverage: the ratio of fixed costs (measured by depreciation and amortization plus selling, general, and administrative expenses) to the market (or book) value of assets. We find that thismeasure of operating leverage positively predicts returns. This operating leveragemeasure is not explained by common factors and performs better than the traditional measures of operating leverage. Furthermore, an exploratory two-factor model with the operating leverage factor works at least as well as, but does not subsume, the Fama and French five-factor model.
引用
收藏
页码:112 / 154
页数:43
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