文章基本信息

标题：Is Unlevered Firm Volatility Asymmetric?
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作者：Daouk, Hazem ; Ng, David T.C.
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2009
出版社：Journal of Agribusiness
摘要：Asymmetric volatility refers to the stylized fact that stock volatility is negatively correlated to stock returns. Traditionally, this phenomenon has been explained by the financial leverage effect. This explanation has recently been challenged in favor of a risk premium based explanation. We develop a new, unlevering approach to document how well financial leverage, rather than size, beta, book-to-market, or operating leverage, explains volatility asymmetry on a firm-by-firm basis. Our results reveal that, at the firm level, financial leverage explains much of the volatility asymmetry. This result is robust to different unlevering methodologies, samples, and measurement intervals. However, we find that financial leverage does not explain index-level volatility asymmetry, which is consistent with theoretical results in Aydemir, Gallmeyer and Hollifield (2006).
关键词：Volatility asymmetry;Financial leverage