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Relationship between Leverage and Cumulative Abnormal Returns: A Study of Chemical Sector of Pakistan
Muhammad Husnain Mughal , Muhammad Shahbaz Yaqub and, Dr. Ijaz Butt
Abstract:
In this study, cumulative abnormal return (CAR) is taken to check its relationship with leverage. This study focuses on the empirical relation between cumulative abnormal returns and book leverage pertaining to the financial risk component of leverage. This study uses a sample of 26 PSX listed chemical companies and period of 11 years (2007-2017). It considers sales growth, change in market value of equity, asset turnover and dividend payout along with leverage. The study uses penal data regression to analyse the data. Our analysis show that leverage is negatively influencing CAR, and almost all other control variable are also negatively impacting on CAR.
Keywords:
Returns, Abnormal returns, Cumulative abnormal returns, Leverage, Panel data
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