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Is the 'Leverage Effect' a Leverage Effect? · Study

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PreprintIs the 'Leverage Effect' a Leverage Effect?

Stephen Figlewski2001

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Preprintgreen2001

Is the 'Leverage Effect' a Leverage Effect?

Stephen Figlewski

188 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1973The Pricing of Options and Corporate Liabilities 1958The Cost of Capital, Corporation Finance and the Theory of Investment 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2016“Options, Futures, and Other Derivatives”1992ARCH modeling in finance 1989Why Does Stock Market Volatility Change Over Time?

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2016The volatility of a firm's assets and the leverage effect 2018The microstructural foundations of leverage effect and rough volatility 2005Predictability of large future changes in major financial indices 2013The Joint Cross Section of Stocks and Options 2011Volatility in Equilibrium: Asymmetries and Dynamic Dependencies 2012Time-varying leverage effects

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Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations188

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.256109

openalex_workW1558455027

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2001Expectations of Equity Risk Premia, Volatility and Asymmetry from a Corporate Finance Perspective

2013The Estimation of Leverage Effect With High-Frequency Data