Panel A | |||||||||||||
Market Leverage | Market Leverage | Book Debt Leverage | Book Assets Leverage | Beta-CRSP VW Only | Beta-VW1 | Beta-VW2 | Multi-beta LG Beta | Post-ranking beta | Empirical Asset Vol. | EDF (%) | Stock Price | LN(ME) | LN(BE/ME) |
Low Leverage | 0.13 | 0.03 | 0.05 | 1.23 | 1.90 | 1.80 | 0.30 | 1.31 | 0.42 | 0.73 | 22.96 | 4.77 | −1.02 |
2 | 0.16 | 0.05 | 0.10 | 1.35 | 2.08 | 1.97 | 0.28 | 1.33 | 0.42 | 0.71 | 25.40 | 5.26 | −1.16 |
3 | 0.21 | 0.10 | 0.16 | 1.28 | 2.01 | 1.88 | 0.30 | 1.30 | 0.37 | 0.82 | 25.27 | 5.28 | −0.98 |
4 | 0.26 | 0.15 | 0.22 | 1.20 | 1.88 | 1.76 | 0.28 | 1.26 | 0.33 | 0.89 | 25.23 | 5.35 | −0.83 |
5 | 0.33 | 0.22 | 0.28 | 1.15 | 1.81 | 1.68 | 0.25 | 1.24 | 0.29 | 1.04 | 24.81 | 5.33 | −0.68 |
6 | 0.39 | 0.29 | 0.33 | 1.11 | 1.75 | 1.62 | 0.25 | 1.22 | 0.27 | 1.21 | 23.40 | 5.24 | −0.53 |
7 | 0.45 | 0.37 | 0.38 | 1.08 | 1.72 | 1.58 | 0.27 | 1.21 | 0.24 | 1.40 | 21.75 | 5.08 | −0.39 |
8 | 0.52 | 0.46 | 0.43 | 1.03 | 1.67 | 1.52 | 0.26 | 1.19 | 0.21 | 1.64 | 20.23 | 4.98 | −0.25 |
9 | 0.60 | 0.57 | 0.50 | 0.93 | 1.59 | 1.41 | 0.26 | 1.13 | 0.18 | 1.88 | 18.80 | 4.97 | −0.12 |
High Leverage | 0.70 | 0.72 | 0.57 | 1.03 | 1.75 | 1.55 | 0.36 | 1.23 | 0.18 | 3.76 | 15.30 | 4.38 | 0.29 |
High-Low | 0.57 | 0.69 | 0.52 | −0.20 | −0.15 | −0.25 | 0.06 | −0.08 | −0.24 | 3.03 | −7.66 | −0.39 | 1.31 |
Panel B | |||||||||||||
Book Debt Leverage | |||||||||||||
Low Leverage | 0.11 | 0.01 | 0.03 | 1.37 | 2.10 | 2.00 | 0.33 | 1.37 | 0.46 | 0.68 | 23.51 | 4.94 | −1.30 |
2 | 0.16 | 0.05 | 0.10 | 1.31 | 2.03 | 1.91 | 0.27 | 1.32 | 0.41 | 0.73 | 24.31 | 5.14 | −1.09 |
3 | 0.21 | 0.10 | 0.17 | 1.23 | 1.93 | 1.80 | 0.29 | 1.28 | 0.36 | 0.85 | 24.45 | 5.17 | −0.91 |
4 | 0.27 | 0.15 | 0.22 | 1.18 | 1.86 | 1.73 | 0.28 | 1.26 | 0.32 | 0.96 | 24.67 | 5.23 | −0.77 |
5 | 0.33 | 0.22 | 0.28 | 1.14 | 1.79 | 1.66 | 0.26 | 1.24 | 0.29 | 1.10 | 23.69 | 5.21 | −0.64 |
6 | 0.39 | 0.29 | 0.32 | 1.11 | 1.75 | 1.62 | 0.26 | 1.23 | 0.26 | 1.26 | 23.14 | 5.16 | −0.50 |
7 | 0.46 | 0.37 | 0.37 | 1.08 | 1.72 | 1.59 | 0.28 | 1.22 | 0.24 | 1.48 | 21.88 | 5.04 | −0.35 |
8 | 0.53 | 0.47 | 0.43 | 1.04 | 1.67 | 1.53 | 0.26 | 1.20 | 0.21 | 1.73 | 20.71 | 5.00 | −0.23 |
9 | 0.60 | 0.57 | 0.51 | 0.92 | 1.57 | 1.39 | 0.25 | 1.12 | 0.18 | 1.89 | 19.71 | 5.02 | −0.11 |
High Leverage | 0.70 | 0.73 | 0.59 | 0.98 | 1.71 | 1.49 | 0.34 | 1.17 | 0.17 | 3.44 | 16.74 | 4.63 | 0.29 |
High-Low | 0.59 | 0.72 | 0.56 | −0.39 | −0.39 | −0.51 | 0.01 | −0.19 | −0.29 | 2.76 | −6.77 | −0.32 | 1.59 |