This paper examines the relationship between capital structure and shareholder returns in the UK between 1980 and 2008. Expanding on Modigliani and Miller's (1958) Proposition 2, returns are estimated using the asset pricing models of CAPM, Fama and French and of Carhart. The analysis shows that...

This paper examines the relation between abnormal stock returns and leverage. Expanding on Modigliani and Miller's (1958) Proposition II, abnormal returns are estimated using the asset pricing models of Sharpe and Lintner (the traditional Capital Asset Pricing Model, CAPM), of Fama and French...

On February 24, 2022, Russia invaded Ukraine. In this paper, we analyze the response of European and worldwide stock markets and a representative sample of commodities to this event and compare it against the recent Covid-19 pandemic and the not-too-distant 2008 global financial crisis. We...

We investigate the effect of firm's leverage on stock returns. We start with the explicit valuation model of Modigliani and Miller (1958) and expand the model by including other variables and undertaking a firm and portfolio level analysis. We show that stock returns decline in leverage and that...

We study the relation between capital structure and abnormal returns. We show that a firm's industry matters. Abnormal returns decline in firm leverage. However, abnormal returns increase as the average industry leverage in a risk class increases. Separating the average level of external...

Leverage is an important risk factor which has been ignored in the asset pricing literature. This paper attempts to broaden the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Leverage is a vital risk factor that explains stock returns. We also...

We use an investment strategy based on firm level capital structures. Investing in low leverage firms yields abnormal returns of 4.43 percent per annum. If an investor holds a portfolio of low leverage and low market to book ratio firms abnormal returns increase to 16.18 percent per annum. A...

Our paper investigates the impact of COVID-19 on stock markets across G7 countries (the US, the UK, Canada, France, Germany, Italy and Japan) and sectors (Consumer Goods, Consumer Services, Financials, Healthcare, Industrials, Materials, Oil & Gas, Technology, Telecommunications and Utilities)...

Corporate boards are responsible for the governance of firms. The board’s responsibilities include setting the strategic aims of the firms, providing the necessary leadership, supervising management, and reporting to shareholders. Given that the overall goal is to maximise firm value, this...