Leverage and asymmetric volatility: The firm-level evidence

被引：14

作者：

Ericsson, Jan ^{[1
]}

Huang, Xiao ^{[2
]}

Mazzotta, Stefano ^{[2
]}

机构：

[1] McGill Univ, Fac Management, Montreal, PQ H3A 2T5, Canada

[2] Kennesaw State Univ, Dept Econ & Finance, Kennesaw, GA USA

来源：

JOURNAL OF EMPIRICAL FINANCE | 2016年 / 38卷

关键词：

Financial leverage; Stock volatility; Panel data; Vector autoregression; STOCK RETURNS; MARKET-EFFICIENCY; RISK; PORTFOLIOS; VARIANCES; TESTS; TIME;

D O I：

10.1016/j.jempfin.2016.02.008

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The relative statistical and economic significance of the leverage and feedback effects on firm-level equity volatility remain an open issue. We use a dynamic panel vector autoregression framework to investigate both effects simultaneously for all firms in CRSP and COMPUSTAT from 1971 to 2013. Crucially, we allow financial leverage, volatility and risk premia to influence each other over time. We find a much larger leverage effect than reported in Christie (1982). Importantly, we find that a change in leverage has a prolonged effect on volatility. The cumulative leverage effect is up to five times larger in twelve quarters than a static model would predict for one quarter. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：1 / 21

页数：21

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