Weekday Variation in the Leverage Effect : A Puzzle

There is large variation in the leverage effect on each weekday. In the past 15 years, the average difference between the impact of negative and positive stock return innovations on future volatility in the S&P 500 Index is 45% on Monday, 14% on Tuesday, 60% on Wednesday, 6% on Thursday, and 28% on Friday. This variation is not predicted by any prevailing hypothesis on why there is a leverage effect

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Year of publication:	2016
Authors:	Smith, Geoffrey Peter
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Kapitaleinkommen \| Capital income \| Volatilität \| Volatility \| Kapitalstruktur \| Capital structure
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Finance Research Letters, Volume 17, May 2016, Pages 193-196 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 21, 2016 erstellt Volltext nicht verfügbar
Classification:	G12 - Asset Pricing ; G17 - Financial Forecasting ; G19 - General Financial Markets. Other
Source:	ECONIS - Online Catalogue of the ZBW

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