The Leverage Effect without Leverage: An Experimental Study

Experimental stock markets are used to add some more evidence that Blacks (1976) leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage effect is observed although the underlying asset does not exhibit a financial leverage at all.

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Year of publication:	2006-06-01
Authors:	Hens, Thorsten ; Steude, Sven C.
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Leverage-Effekt

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Extent:	217088 bytes 14 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 318 (2006)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C92 - Laboratory; Group Behavior ; G11 - Portfolio Choice ; G12 - Asset Pricing ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858378