Is the "Leverage Effect" a Leverage Effect?

By Stephen Figlewski, Xiaozu Wang. 2000

210 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/e131b6bcdef37027d09cb2ddb8ffae35f10fe3f5

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Citations in the corpus

A Semiparametric Stochastic Volatility Model (2012, unknown): “Using the firm level accounting data, Figlewski and Wang (2000) reported a more remarkable leverage effect in down markets than in up markets.”
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency (2011, background): “The magnitude of the effect however seems too large to be attributable solely to an increase in financial leverage: Figlewski and Wang (2000) noted among other findings that there is no apparent effect on volatility when leverage changes because of a change in debt or number of shares, only when…”
A behavioral explanation for the negative asymmetric return–volatility relation (2008, unknown): “For example, Schwert (1989) examines the S&P 500 daily return–volatility relation, concluding that it is difficult for the leverage hypothesis to explain the observed associated negative relation, while Bollerslev et al. (2006) conclude that the magnitude of the impact of a decrease in prices on vol”
The Estimation of Leverage Effect With High-Frequency Data (2014, unknown): “…leverage itself, however, seems not enough to explain either the large magnitude of the effect of declines in current price on future volatility (Figlewski and Wang 2001), or the phenomenon that the asymmetry of market index returns is generally larger than that of individual stocks (Kim and…”
Leverage and Volatility Feedback Effects in High-Frequency Data (2006, background): “However, the magnitude of the effect of a decline in current prices on future volatilities appears too large to be explained solely by changes in financial leverage (see, e.g., Figlewski and Wang (2001)).”
Cross-correlation of long-range correlated series (2008, background): “Furthermore, the impact of negative returns on volatility seems much stronger than the impact of positive returns (the down market effect) [16, 17].”
Metal volatility in presence of oil and interest rate shocks (2008, methodology): “Examples of this research include Hammoudeh et al. (2004) who use univariate and multivariate GARCH to examine volatility persistence in the crude oil market and the oil industry's equity markets.”