Secondary event type: Risk Management
Seminar 217, Risk Management: Does the leverage effect have a big impact on the return distribution?
Seminar: Risk Management | September 3 | 11 a.m.-12:30 p.m. | 1011 Evans Hall
Speaker: Dangxing Chen, UC Berkeley
The leverage effect refers to the generally negative correlation between the return of an asset and the changes in its volatility. There is broad agreement in the literature that the effect should be present, and it has been consistently found in empirical work. However, a few papers have pointed out a puzzle: the return distribution of many assets do not appear to be affected by the leverage... More >