In this paper, we propose the use of static and dynamic copulas to study the leverage effect in the S&P 500 index. Copula models can conveniently separate the leverage effect from the marginal distributions of the return and its volatility. Daily volatility is proxied by a measure of realized...

This paper implements empirical tests of the recently proposed float-adjusted return model by using Chinese stock-market data. The results show that variation in free float can explain cross-sectional variation in asset returns by about 6.7% annually, after we control for market risk, size, and...

A copula approach is used to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that there is significant and asymmetric return-volume dependence at extremes for these markets. In particular, extremely high returns (large...