Bretscher, Lorenzo; Feldhütter, Peter; Kane, Andrew; … - 2021
dataset to i) provide novel rules of thumb on how to adjust leverage and unlever returns using standard datasets, and ii) to … improves default prediction, and do not detect a credit spread puzzle. In asset pricing tests, we find a leverage premium, but … no evidence for a value premium after controlling for market leverage. Moreover, a novel measure of financial distress …