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Notes define the leverage measure and its timing, and give the simulation parameters.",162 "units_stated_in_notes": true,163 "standard_errors_description": "unclear"164 },165 "figures": {166 "uncertainty_shown": "unclear"167 },168 "conclusion": {169 "bounded_claims": true,170 "policy_implications": false,171 "open_questions": false,172 "restates_contribution": true173 },174 "hedging": {175 "level": "moderate",176 "typical_devices": [177 "'in part' qualifiers",178 "'suggest'",179 "'virtually disappear' / 'weakened'",180 "'consistent with theoretical predictions'"181 ]182 },183 "claim_evidence": [184 {185 "claim": "Unlevered market beta is more strongly priced than levered beta, even after controlling for size and BTM",186 "evidence_type": "table",187 "evidence_ref": "Tables I, III, IV; Figure 2"188 },189 {190 "claim": "The value premium virtually disappears and the size effect weakens for unlevered returns",191 "evidence_type": "table",192 "evidence_ref": "Tables III, IV"193 },194 {195 "claim": "Leverage induces heteroskedasticity in stock returns that unlevering removes",196 "evidence_type": "figure",197 "evidence_ref": "Figure 1, Figure 3"198 },199 {200 "claim": "Controlling for leverage in regressions does not adequately address its nonlinear effect",201 "evidence_type": "table",202 "evidence_ref": "Table V"203 },204 {205 "claim": "The volatility puzzle holds for levered returns but not for unlevered returns",206 "evidence_type": "table",207 "evidence_ref": "Table VIII"208 },209 {210 "claim": "Results are robust to debt maturity, face value of debt, the Leland-Toft model and weighting choices",211 "evidence_type": "table",212 "evidence_ref": "Tables VI, VII"213 },214 {215 "claim": "Derivative of expected levered returns with respect to levered volatility is negative",216 "evidence_type": "equation_or_proof",217 "evidence_ref": "Appendix, Equation (3)"218 }219 ],220 "structural_summary": "The paper opens with a question and motivates it with well-known anomalies, then positions itself as the first to test hypotheses on unlevered returns. 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