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TomaszBerent,SebastianJasinowski
winiandViallet2007;SubramanyamandWild2009;Bień2008;Brealey,Myersand
Allen2008;BerkandDeMarzo2007;Duliniec2007;Karpuś2006;Gajdka2002;
BrighamandGapenski2000].
Theanalysisoftherequiredrateofreturnorthecostofcapitalthatimplicitly
relatesthegearedreturnstotheungearedonescanalsobeviewedasbelongingto
thisapproach[e.g.EhrhardtandBrigham2011;HawawiniandViallet2011;Moles,
ParrinoandKidwell2011;BerkandDeMarzo2007;Arnold2002].
2.4.Leverageinrisk
Mostauthorsidentifyfinancialleveragewithfinancialrisk,i.e.themagnificationof
riskthatcomeswithdebtandinterestpayment.Financialactivityofthefirmin-
creasesthevarianceofreturnsaswellasreturnsbeta.Mostbooks,mainlyforeign,
emphasizetheimpactofleverageonthesystematicriskincreasetoo[e.g.Ehrhardt
andBrigham2011;HawawiniandViallet2011,Brealey,MyersandAllen2008;
Hillier,GrinblattandTitman2008;BerkandDeMarzo2007;Damodaran2001;
BrighamandGapenski2000].
2.5.Leverageinthereturnsdistribution
Therearemanyauthorswhopointtothechangesinthewholedistributionofreturns,
profitsorEPSasquintessentialtoleverage[Karpuś2006;Machała2004;Arnold
2002;Damodaran2001;BrighamandGapenski2000;Wypych1999].Leveragecan
beseenintheshiftoftheprobabilitydensityfunctiontotherightthatimplieslevered
expectedreturns.Thedistributionhasalsogotthickertails,hencelargervariance.
Someusethecoefficientofvariation[VanHorneandWachowicz2005]asameasu-
reofleveragederivedfromthedistributioncharacteristics.Otherwaystousethe
probabilitydistributioninthecontextofleveragearealsopossible[Hawawiniand
Viallet2011].
InBerent[2011a],averygeneralplatformfortheanalysisofleveragebasedon
theanalysisofdistributionisproposed.Thepaperincludesthedefinitionoffinan-
cialleverageriskthatemphasizestheroleofleverageinincreasingtheprobability
ofgeneratingextreme(negativeand/orpositive)valuesofreturns.Thedefinition
allowstheusertodecidethewayhow“extremevalues”areunderstood.Thisinturn
allowsmorespecificdefinitionsoffinancialleveragetobeproposed.Berentargues
thatmostdefinitionspresentintheliteraturecanbesuccessfullyderivedfromhis
generalapproach.
3.Financialleverageinarticles
Thearticlesreviewedarethosewithleverageamongtheirkeywordsorthosewitha
leveragewordineitherthetitleortheabstract.Inthearticlesscreenedleveragefe-
atureseitherasanindependentvariable,beitthemainexplanatoryfactororavaria-
blethatcorrectsfor“unwanted”influences,orsimplyasavariablebeingexplained
