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%