SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK

SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK SEPTEMBER 1975 SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK URI BEN-ZIONAND SOLS. SHALIT" THE LAST DECADE has witnessed significant advancements in capital theory and its application to corporate finance, investment policy, and portfolio analysis. More recently a growing body of empirical work has undertaken the task of systematically testing the positive implications of the theory. The study of risk has occupied a central position in this endeavor as it provides the link between the various branches of finance theory. The purpose of this paper is to investigate the empirical determinants of equity risk through the analysis of the firm's underlying characteristics, specifically, the firm's size, its financial leverage, and its dividend record. Section I summarizes the literature, Section I1 provides the theoretical framework, Section I11 describes the empirical model and the data, Section I V presents the statistical results, Section V analyzes the effect of excluded variables, and Section VI provides a summary and conclusions. I. EMPIRICAL LITERATURE RISK ON The following survey is not exhaustive; it intends to trace the direction of research on the subject and provide background for the interpretation of our results.' The empirical investigation of the determinants of risk can http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK

The Journal of Finance, Volume 30 (4) – Sep 1, 1975

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Publisher
Wiley
Copyright
1975 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1975.tb01018.x
Publisher site
See Article on Publisher Site

Abstract

SEPTEMBER 1975 SIZE, LEVERAGE, AND DIVIDEND RECORD AS DETERMINANTS OF EQUITY RISK URI BEN-ZIONAND SOLS. SHALIT" THE LAST DECADE has witnessed significant advancements in capital theory and its application to corporate finance, investment policy, and portfolio analysis. More recently a growing body of empirical work has undertaken the task of systematically testing the positive implications of the theory. The study of risk has occupied a central position in this endeavor as it provides the link between the various branches of finance theory. The purpose of this paper is to investigate the empirical determinants of equity risk through the analysis of the firm's underlying characteristics, specifically, the firm's size, its financial leverage, and its dividend record. Section I summarizes the literature, Section I1 provides the theoretical framework, Section I11 describes the empirical model and the data, Section I V presents the statistical results, Section V analyzes the effect of excluded variables, and Section VI provides a summary and conclusions. I. EMPIRICAL LITERATURE RISK ON The following survey is not exhaustive; it intends to trace the direction of research on the subject and provide background for the interpretation of our results.' The empirical investigation of the determinants of risk can

Journal

The Journal of FinanceWiley

Published: Sep 1, 1975

References

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