Abstract

We examine a simple measure of operating leverage: the ratio of fixed costs (measured by depreciation and amortization plus selling, general, and administrative expenses) to the market (or book) value of assets. We find that this measure of operating leverage positively predicts returns. This operating leverage measure is not explained by common factors and performs better than the traditional measures of operating leverage. Furthermore, an exploratory two-factor model with the operating leverage factor works at least as well as, but does not subsume, the Fama and French five-factor model. (JEL G11, G12, G30)

中文翻译：

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衡量经营杠杆

摘要

我们研究了一个简单的经营杠杆衡量标准：固定成本（以折旧和摊销加上销售、一般和管理费用衡量）与资产市场（或账面）价值的比率。我们发现，这种经营杠杆的衡量标准可以积极地预测回报。这种经营杠杆的衡量标准不能用共同因素来解释，并且比传统的经营杠杆衡量标准表现得更好。此外，具有经营杠杆因子的探索性二因子模型的效果至少与 Fama 和法国五因子模型一样好，但不包括在内。（杰尔G11、G12、G30）