The value premium, capital share and debt

Khairani, Rina; Ruzzier, Gianmarco

The value premium, capital share and debt

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Citation

Khairani, R, Ruzzier, G. The value premium, capital share and debt. 2018. handle: http://hdl.handle.net/10230/35863

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Abstract

This paper simulates the value premium anomaly under neoclassical framework of investment adapted from Zhang (2005) calibrated with standard, high and low capital structure speciﬁcations and leverage settings. Our model generates (1) the value premium in diﬀerent magnitude, (2) a non-linear relationship of the Sharpe ratio and capital share. (3) When debt is introduced, the model accounts for a positive HML, however lower with respect to the base-line model.
Aquest paper simula l'anomalia del valor de complement sota el marc neoclassic d’inversió adaptat de Zhang (2005) calibrat amb estructura de capital estàndard, alta i baixa i configuracions d’avantatges. El nostre model genera (1) la prima valor en magnitud diferent, (2) una relació no lineal de la ràtio de Sharpe i quota de capital. (3) Quan s'introdueix deute, el model genera un HML positiva, però inferior respecte al model de línia base.