|
|||||
|
|
Asymmetric volatility and risk in equity markets |
|
| Authors: | Bekaert, G Wu, G |
| Affiliation: | 1 Stanford University 2 School of Business Administration, University of Michigan, Ann Arbor, MI 48109, USA E-mail: giwu@umich.edu z Corresponding author |
| Abstract: | It appears that volatility in equity markets is asymmetric:returns and conditional volatility are negatively correlated.We provide a unified framework to simultaneously investigateasymmetric volatility at the firm and the market level and toexamine two potential explanations of the asymmetry: leverageeffects and volatility feedback. Our empirical application usesthe market portfolio and portfolios with different leverageconstructed from Nikkei 225 stocks. We reject the pure leveragemodel of Christie (1982) and find support for a volatility feedbackstory. Volatility feedback at the firm level is enhanced bystrong asymmetries in conditional covariances. Conditional betasdo not show significant asymmetries. We document the risk premiumimplications of these findings. |
| Keywords: | |
| 本文献已被 Oxford 等数据库收录！ | |