Testing for Leverage Effects in the Returns of US Equities

Abstract : This article questions the empirical usefulness of leverage effects to describe the dynamics of equity returns. Relying on both in and out of sample tests we consistently find a weak contribution of leverage effects over the past 25 years of S&P 500 returns. The skewness in the conditional distribution of the returns's time series models in found to explain most of the returns' distribution's asymmetry. This conclusion holds both at the index level and for 70% of the individual stocks constituents of the equity index.
Document type :
Other publications
Complete list of metadatas

https://halshs.archives-ouvertes.fr/halshs-00973922
Contributor : Lucie Label <>
Submitted on : Thursday, January 19, 2017 - 12:11:28 PM
Last modification on : Monday, March 11, 2019 - 2:32:03 PM
Long-term archiving on : Thursday, April 20, 2017 - 1:21:34 PM

File

14022R.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : halshs-00973922, version 2

Collections

Citation

Christophe Chorro, Dominique Guegan, Florian Ielpo, Hanjarivo Lalaharison. Testing for Leverage Effects in the Returns of US Equities. 2017. ⟨halshs-00973922v2⟩

Share

Metrics

Record views

248

Files downloads

1261