Muradoglu, Yaz Gulnur; Sivaprasad, Sheeja - In: Studies in Economics and Finance 30 (2013) April, pp. 94-107
Purpose – The purpose of this paper is to explore the effect of leverage mimicking factor portfolios in explaining stock return variations. This paper broadens the focus of the current asset pricing literature by forming portfolios mimicking the leverage factor. Design/methodology/approach –...