Leverage and asymmetric volatility: The firm-level evidence
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- 作者：Jan Ericssona ; Jan.Ericsson@mcgill.ca" class="auth_mail" title="E-mail the corresponding author ; Xiao Huangb ; xhuang3@kennesaw.edu" class="auth_mail" title="E-mail the corresponding author ; Stefano Mazzottab ; smazzott@kennesaw.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：C33
- 刊名：Journal of Empirical Finance
- 出版年：2016
- 出版时间：September 2016
- 年：2016
- 卷：38
- 期：part_PA
- 页码：1-21
- 全文大小：988 K
文摘
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Investigate financial leverage and asymmetric volatility with dynamic panel VAR
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Use firm level data for all firms in CRSP and COMPUSTAT from 1971 to 2013
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Allow leverage, volatility and risk premia to dynamically influence each other
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A change in leverage has a prolonged effect on volatility.
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The leverage effect is up to five times larger than a static model would predict.