EconPapers    
Economics at your fingertips  
 

Testing for Leverage Effects in the Returns of US Equities

Christophe Chorro (), Dominique Guegan, Florian Ielpo () and Hanjarivo Lalaharison
Additional contact information
Christophe Chorro: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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.

Keywords: Leverage effect; S&P 500; Generalized hyperbolic distributions; Mixture of Gaussian distributions; GARCH; Asymmetry (search for similar items in EconPapers)
Date: 2017-01
New Economics Papers: this item is included in nep-fmk and nep-for
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00973922v2
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in 2017

Downloads: (external link)
https://halshs.archives-ouvertes.fr/halshs-00973922v2/document (application/pdf)

Related works:
Journal Article: Testing for leverage effects in the returns of US equities (2018) Downloads
Working Paper: Testing for leverage effects in the returns of US equities (2018)
Working Paper: Testing for Leverage Effects in the Returns of US Equities (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:halshs-00973922

Access Statistics for this paper

More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-11-25
Handle: RePEc:hal:cesptp:halshs-00973922