期刊名称：International Journal of Contemporary Business Studies
电子版ISSN：2156-7506
出版年度：2012
卷号：3
期号：4
页码：6
出版社：Academy of Knowledge Process
摘要：This study is aimed to determine the impact of leverage on stock returns. The basic objective is to identify whether the capital structure of a firm impacts the returns of its stock being traded in the stock exchange market.The approach used to conduct the study is based on Fama and French (1993) three-factor model. We have basically extended their model by including a fourth factor of leverage. The basic methodology used to identify the impact of leverage on stock returns is same as used in three-factor model to identify the impact of size premium and value premium on equity market returns. The study is basically conducted on 36 non-financial leading firms of Pakistan listed on Karachi Stock Exchange (KSE)-100. Time horizon that this study covers ranges from January 2007 till December 2010. The results indicate that leverage has no significant impact in explaining the stock returns of a company. Hence, capital structure of firm proves to be of no value in determining excess stock returns. In addition to that it also reveals that for the said time period there is no size effect as well as value effect present in KSE market. Only the market premium has been given by KSE during 2007-2010 period. This study provides important implications for Pakistani investors who are willing to invest in KSE because it provides an insight to investors regarding capital structure and stock return relation as well as regarding two important market anomalies (value premium and size premium). The study highlights the impact of firm specific factors like market capitalization, Book Value-to-Market value ratio (BV/MV) and Debt to Equity ratio (D/E) on stock returns apart from the impact of market specific factors like return of market portfolio
