Financial leverage and stock return comovement

Do, HX; Nguyen, NH; Nguyen, QMP

Financial leverage and stock return comovement

Do, HX Nguyen, NH Nguyen, QMP

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Publisher:: Elsevier
Publication Type:: Journal Article
Citation:: Journal of Financial Markets, 2022, 60, (-), pp. 1-27
Issue Date:: 2022-09-01

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Field	Value	Language
dc.contributor.author	Do, HX
dc.contributor.author	Nguyen, NH
dc.contributor.author	Nguyen, QMP
dc.date.accessioned	2023-06-12T06:14:29Z
dc.date.available	2023-06-12T06:14:29Z
dc.date.issued	2022-09-01
dc.identifier.citation	Journal of Financial Markets, 2022, 60, (-), pp. 1-27
dc.identifier.issn	1386-4181
dc.identifier.uri	http://hdl.handle.net/10453/170709
dc.description.abstract	Leverage initiating stocks experience an increase in return comovement with leveraged stocks and a decrease in return comovement with zero leverage stocks in the year after the leverage initiation event Conversely stocks that fully deleverage comove more with their new peers of zero leverage stocks and less with their old peers of leveraged stocks These findings are robust after controlling for common factors and firm characteristics and using various time series and events as exogenous shocks to corporate leverage decisions Our findings can be explained by investor clienteles for financial leverage and are not driven by omitted variables and other characteristic induced comovements 2021 Elsevier B V
dc.language	en
dc.publisher	Elsevier
dc.relation.ispartof	Journal of Financial Markets
dc.relation.isbasedon	10.1016/j.finmar.2021.100699
dc.rights	info:eu-repo/semantics/closedAccess
dc.subject	1502 Banking, Finance and Investment
dc.subject.classification	Finance
dc.title	Financial leverage and stock return comovement
dc.type	Journal Article
utslib.citation.volume	60
utslib.for	1502 Banking, Finance and Investment
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
utslib.copyright.status	closed_access	*
pubs.consider-herdc	false
dc.date.updated	2023-06-12T06:14:27Z
pubs.issue	-
pubs.publication-status	Published
pubs.volume	60
utslib.citation.issue	-

Abstract:

Leverage initiating stocks experience an increase in return comovement with leveraged stocks and a decrease in return comovement with zero leverage stocks in the year after the leverage initiation event Conversely stocks that fully deleverage comove more with their new peers of zero leverage stocks and less with their old peers of leveraged stocks These findings are robust after controlling for common factors and firm characteristics and using various time series and events as exogenous shocks to corporate leverage decisions Our findings can be explained by investor clienteles for financial leverage and are not driven by omitted variables and other characteristic induced comovements 2021 Elsevier B V

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/170709