Abstract

http://ssrn.com/abstract=1762289
 
 

References (75)



 
 

Citations (3)



 


 



Leverage Dynamics over the Business Cycle


Michael Halling


Swedish House of Finance

Jin Yu


UNSW Australia Business School, School of Banking and Finance

Josef Zechner


Vienna University of Economics and Business

November 21, 2015

AFA 2012 Chicago Meetings Paper

Abstract:     
Surprisingly little is known about the business cycle dynamics of leverage. The existing evidence documents that target leverage evolves pro-cyclically either for all firms or financially constrained ones. In contrast, we show that, on average, target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting for variation in explanatory variables and model parameters. These counter-cyclical dynamics are robust to different subsamples of firms, data samples, empirical models of leverage, and definitions of leverage. There is a fraction of 10 to 25% of firms with pro-cyclical dynamics whose characteristics are consistent with counter-cyclical dynamics for loss-given-default and probability of default.

Number of Pages in PDF File: 61

Keywords: Empirical Corporate Finance, Capital Structure Dynamics, Business Cycle Variation

JEL Classification: G32, G15


Open PDF in Browser Download This Paper

Date posted: February 15, 2011 ; Last revised: November 24, 2015

Suggested Citation

Halling, Michael and Yu, Jin and Zechner, Josef, Leverage Dynamics over the Business Cycle (November 21, 2015). AFA 2012 Chicago Meetings Paper. Available at SSRN: http://ssrn.com/abstract=1762289 or http://dx.doi.org/10.2139/ssrn.1762289

Contact Information

Michael Halling
Swedish House of Finance ( email )
Drottninggatan 98
111 60 Stockholm
Sweden

Jin Yu
UNSW Australia Business School, School of Banking and Finance ( email )
Sydney, NSW 2052
Australia

Josef Zechner (Contact Author)
Vienna University of Economics and Business ( email )
Welthandelsplatz 1
Vienna, Wien A-1019
Austria

Feedback to SSRN


Paper statistics
Abstract Views: 3,464
Downloads: 780
Download Rank: 21,915
References:  75
Citations:  3

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.250 seconds