Is the "leverage effect" a leverage effect?

The "leverage effect" refers to the well-established relationship between stock returns and both implied and realized volatility: volatility increases when the stock price falls. A standard explanation ties the phenomenon to the effect a change in market valuation of a firm's equity has on the degree of leverage in its capital structure, with an increase in leverage producing an increase in stock volatility.(...)

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Year of publication:	2000-11-06
Authors:	Figlewski, Stephen ; Wang, Xiaozu
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY> /
Subject:	Leverage-Effekt \| Aktie \| Volatilität \| Fremdkapital

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Extent:	108544 bytes 40 p. application/pdf
Series:	Salomon Center for the Study of Financial Institutions - Publications Salomon Center for the Study of Financial Institutions <New York, NY> - Credit & Debt Markets Research Program ; 2000,09
Type of publication:	Book / Working Paper
Language:	English
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G32 - Financing Policy; Capital and Ownership Structure ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846843