Penalties implied for financial leverage

[hrustalik]

Penalties implied for financial leverage
Как бы вы перевели:
У меня получилось: Комиссии, предусмотренные за финансовый левередж ?
Спасибо, коллективный разум :)

[off_we_go]

штрафы (или штрафные санкции), предусмотренные за нарушение требований к уровню финансового рычага (или обязательств по поддержанию [предусмотренного договором] уровня (или коэффициента) финансового рычага, если это какие-нибудь covenants)

[d.]

дык если ковенанты) а тут прямым текстом - оштрафуем к бую за рычаг, и всё)

[off_we_go]

в том смысле, если financial leverage предусмотрен в ковенантах

и implied тут, похоже, в значении imposed :)

[silly.wizard]

как вопрос:
а не идет ли речь о том, что за leverage (займы) надо расплачиваться - процентами?
(соотв-но, чем выше financial leverage ratio, тем дороже оное обходится - объективно; так сказать, несет с собой penalties)

[d.]

http://www.allbusiness.com/accounting-reporting/managerial-accounting-return/559196-1.html

штрафы, штрафы...
контекста отсыпать надо не жать!

[hrustalik]

INTRODUCTION
This study takes a new look at an old issue—the relationship between financial lever-age and beta and, hence, between financial leverage and required return. Our motivation for returning to this question is based on three concerns: the conflicting results in extant empirical work, the recent controversy in the validity of beta as a discriminating measure of security risk (Fama and French, 1992), and the use of Hamada (1972) and similar tech¬niques for unlevering and relevering betas for purposes of estimation of the cost of equity.
The theoretical literature dictates a positive and linear relationship between required return and leverage, as formulated by Modigliani and Miller (1858, 1963) within a con-stant risk class framework. Modigliani and Miller show, on both а по tax and after corpo-rate tax basis, that the required return on equity of a levered firm increases in proportion to the debt-to-equity ratio. Hamada (1969,1972) rederives the Modigliani and Miller propo-sitions within a portfolio theoretic framework and shows that parallel relationships hold between equity betas and leverage as well. The major implication of the above works is that firms with the same asset risk but different degrees of leverage should have different costs of equity, with the market requiring higher returns on the more highly levered firm.
Opposing such paradigms is the traditionalist view. The traditionalists maintain that the market does not require higher returns for more highly levered firms until some criti-cal leverage point is reached. At that point, required return will increase more dramatically
* The authors gratefuily acknowledge the Mclntire Associates program and the University of Virginia Center For Advanced Studies for funding to complete this research and Stratford Douglas for the use of his program to test a switching regression paradigm.
77
0747-5535/9671300-0077 $02.50 © University of Nebraska-Lincoln

78 MARSTON ANDPERRY
with increases in financial leverage than tbat suggested by tbe later modeis of Modigliani and Miller and Hamada. Thus, within this framework, tbe cost of equity for finns within a given risk class will be constant across firms as long as critical leverage is not reached. [For one discussion of tbe traditionalist position, see Barges (1963).] While the argu-ments for the traditionalist position lack streng tbeoretical Support (Brealey and Myers, 1988, pp. 396-397), the position nonetheless may reflect the perceptions of investors and analysts and the workings of financial markets. Surprisingly, while there has been а plethora of empirical research relating beta to financial leverage and a host of otber vari¬ables, little research has tested bow closely the actual Hamada relationships hold or has tested tbe Hamada relationship vis-д-vis the tradiьonal position.
This article examines this issue from several perspectives. First, using ordinary least Squares regression, we consider the Hamada proposition of a linear relationship between beta and financial leverage. Consistent with other studies, we find inconclusive results using this fairly simple test. We then relax the linearity assumption, and we use switch-ing regime regressions to test for the nonconstant relationship between leverage and required return posited by traditionalist theories. Again, we find inconsistencies in the results of the switching regime modeis. Given the inconsistent results in tests of both the Hamada and the traditionalist modeis, we attempt to disentangle these mixed results by constructing a carefully controlled matched pair sample.
Examination of this issue is important for several reasons. Most managerial finance texts emphasize that a firm's equity risk arises from two components—operating risk and financial risk—and that market measures of equity risk, such as beta, should be delevered (typically with the Hamada adjustment) from the effects of financial risk in order to determine the asset risk premium applicable to the average firm project. To the extent that the Hamada adjustment for leverage fails to hold in practice, asset betas will be biased, leading to incorrect divisional costs of capital and capital budgeting decisions. Addition-ally, in the event the traditionalists are correct, firms that strive for a target beta would want to monitor more closely changes in operating risk over changes in financial risk.
RELATED LITERATURE
RELATED THEORETICAL WORK
The theoretical foundation for the relationship between financial leverage and equity required returns lies in the seminal work of Modigliani and Miller (1958, 1963) that shows that required return will increase linearly with a firm's debt-to-equity ratio. The Modigliani and Miller propositions are extended to a portfolio theoretic framework by Hamada (1969). In later work Hamada (1972) derives a direct relationship between the beta for an unlevered firm and the beta for the same firm if levered:1
(1)Ви = (Е1/Еи)цВе where:
' Rubeinstein (1973) also derives an analytical synthesis of portfolio and corporate financial theory.

II

QJBE, SPRING 1996, VOL. 35, NO. 2 79_
Bu = Unlevered beta (asset beta);
El = Market value of (levered) common stock at t -1;
Eu = Market value of common stock ifnodebtorpreferred stock wereused in the
capital structure at t -1; and Be = Levered beta whichequals beta of the common stock.
Using a slightly different paradigm but drawing on Hamada's work, Bowman (1980) shows that equation (1) also implies that the market value of equity for an unlevered firm will equal the market value of equity plus debt of the same firm if levered such that:
(la) Be = Bu (1 + D/E) = Bu + Bu D/E where:
D = Market value of debt of the levered firm;
E = Market value of equity of the levered firm; and
other variables are as defined previously. If one alternatively assumes that the Modigliani and Miller (1963) tax subsidy associated with debt financing is correct, the comparable relationship is:
(lb) Be = Bu + Bu (1 - T)D/E where:
T = Corporate tax rate.
While equations (la) and (lb) assume default-free (riskless) debt, Conine (1980) has developed a variant to allow for risky debt.2 In this latter framework, the penalty for increased leverage is lower because the debt holders assume some of the risk, and the rela-tionship between beta and financial leverage becomes:
(lc) Be = Bu + (Bu - Bd)(l - T)D/E where: Bd = The beta for debt
In contrast to the proportional increases in measures of equity risk with increases in leverage in the above paradigms, the relationship between equity risk and financial lever-age in the traditional framework consists of two different regimes. In the first regime, the
1 In a separate model, Bowman (1980) uses an Option pricing framework to incorporate risky debt.

[hrustalik]

Спасибо за помощь! Контекста не жалко! :)

[d.]

короче, термин тут нужен)
мне блазнится что-то вроде "понижающего коэффициента", "поправки на"

но уверенности я не чувствую

[hrustalik]

Меня тоже смущает, штрафные санкции, проценты понимаю, но штрафовать именно за использование заемного капитала?

[silly.wizard]

да нету там "штрафа" ... penalty = extra cost/expense for the business (imho)