skip to main content
Language:
Search Limited to: Search Limited to: Resource type Show Results with: Show Results with: Search type Index

Is Unlevered Firm Volatility Asymmetric?

Research in Agricultural & Applied Economics, 2009-06

Copyright Agricultural & Applied Economics Association (AAEA) Jun 2009 ;DOI: 10.22004/ag.econ.51182

Digital Resources/Online E-Resources

Citations Cited by
  • Title:
    Is Unlevered Firm Volatility Asymmetric?
  • Author: Daouk, Hazem ; Ng, David TC
  • Subjects: Financial Economics ; Financial leverage ; Research Methods/ Statistical Methods ; Volatility asymmetry
  • Is Part Of: Research in Agricultural & Applied Economics, 2009-06
  • Description: Asymmetric volatility refers to the stylized fact that stock volatility is negatively correlated to stock returns. Traditionally, this phenomenon has been explained by the financial leverage effect. This explanation has recently been challenged in favor of a risk premium based explanation. We develop a new, unlevering approach to document how well financial leverage, rather than size, beta, book-to-market, or operating leverage, explains volatility asymmetry on a firm-by-firm basis. Our results reveal that, at the firm level, financial leverage explains much of the volatility asymmetry. This result is robust to different unlevering methodologies, samples, and measurement intervals. However, we find that financial leverage does not explain index-level volatility asymmetry, which is consistent with theoretical results in Aydemir, Gallmeyer and Hollifield (2006).
  • Publisher: St. Paul: Agricultural & Applied Economics Association (AAEA)
  • Language: English
  • Identifier: DOI: 10.22004/ag.econ.51182
  • Source: AgEcon
Back to results list
INSPIRE LIBRARY - TON DUC THANG UNIVERSITY (84-028) 37 755 057 Feedback
19 Nguyen Huu Tho St. Dist.7, HCM thuvien@tdtu.edu.vn

Copyright © 2017 INSPIRE LIBRARY - TON DUC THANG UNIVERSITY

Searching Remote Databases, Please Wait