Panel A | ||||||||
Market Leverage | Stock Return t − 5 | Stock Return t − 4 | Stock Return t − 3 | Stock Return t − 2 | Stock Return t-1 | Stock Return t | Stock Return t + 1 | Stock Return t + 2 |
Low Leverage | 2.53% | 2.56% | 2.54% | 2.67% | 2.83% | 1.22% | 1.24% | 1.22% |
2 | 2.01% | 1.98% | 2.04% | 2.07% | 2.18% | 1.17% | 1.24% | 1.15% |
3 | 1.63% | 1.68% | 1.67% | 1.71% | 1.78% | 1.27% | 1.31% | 1.31% |
4 | 1.49% | 1.48% | 1.50% | 1.54% | 1.59% | 1.30% | 1.32% | 1.31% |
5 | 1.24% | 1.28% | 1.25% | 1.34% | 1.45% | 1.40% | 1.38% | 1.38% |
6 | 1.11% | 1.13% | 1.20% | 1.21% | 1.29% | 1.31% | 1.37% | 1.34% |
7 | 0.97% | 1.05% | 1.03% | 1.06% | 1.05% | 1.41% | 1.36% | 1.34% |
8 | 0.78% | 0.79% | 0.81% | 0.89% | 0.90% | 1.34% | 1.33% | 1.37% |
9 | 0.48% | 0.47% | 0.54% | 0.55% | 0.59% | 1.40% | 1.38% | 1.32% |
High Leverage | −0.62% | −0.56% | −0.53% | −0.52% | −0.56% | 1.57% | 1.42% | 1.37% |
High-Low | −3.15% | −3.11% | −3.07% | −3.19% | −3.39% | 0.34% | 0.18% | 0.15% |
Panel B | ||||||||
Book Debt Leverage | ||||||||
Low Leverage | 1.95% | 1.99% | 1.93% | 2.00% | 2.09% | 1.25% | 1.25% | 1.22% |
2 | 1.84% | 1.87% | 1.87% | 1.92% | 2.00% | 1.21% | 1.26% | 1.23% |
3 | 1.66% | 1.63% | 1.65% | 1.67% | 1.79% | 1.25% | 1.28% | 1.24% |
4 | 1.59% | 1.58% | 1.56% | 1.63% | 1.66% | 1.27% | 1.32% | 1.32% |
5 | 1.39% | 1.40% | 1.44% | 1.48% | 1.53% | 1.34% | 1.33% | 1.31% |
6 | 1.17% | 1.18% | 1.15% | 1.22% | 1.37% | 1.33% | 1.37% | 1.36% |
7 | 0.98% | 0.99% | 1.07% | 1.10% | 1.09% | 1.34% | 1.34% | 1.37% |
8 | 0.79% | 0.86% | 0.88% | 0.95% | 0.98% | 1.35% | 1.33% | 1.33% |
9 | 0.59% | 0.61% | 0.69% | 0.68% | 0.71% | 1.37% | 1.36% | 1.34% |
High Leverage | −0.34% | −0.26% | −0.19% | −0.13% | −0.12% | 1.68% | 1.51% | 1.41% |
High-Low | −2.29% | −2.25% | −2.13% | −2.13% | −2.21% | 0.43% | 0.26% | 0.19% |
Panel C | ||||||||
Book Assets Leverage | ||||||||
Low Leverage | 1.21% | 1.26% | 1.24% | 1.28% | 1.31% | 1.33% | 1.33% | 1.29% |