Jacquier, Éric; Titman, Sheridan; Yalçin, Atakan - Centre Interuniversitaire de Recherche en Analyse des … - 2009
Via the well-known financial leverage effect, decreases in stock prices cause an increase in the levered equity beta for a given unlevered equity beta. However, as growth options are more volatile and have higher risk than assets in place, a price decrease may decrease the unlevered equity beta...