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المؤلفElgammal, Mohammed
المؤلفAl-Najjar, Basil
تاريخ الإتاحة2015-10-18T06:23:09Z
تاريخ النشر2015-03
اسم المنشورStudies in Business and economic
الاقتباسElgammal, M. , Al-Najjar, B. (2012), THE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE, 1: 33 - 50
الرقم المعياري الدولي للكتاب1818-1228
معرّف المصادر الموحدhttp://hdl.handle.net/10576/3568
الملخصThis paper investigates the leverage effect on the value premium volatility using GARCH and TARCH models utilizing a unique dataset, for twenty nine countries. The findings show that value premium returns are bigger in developed than in developing countries and vary from negative values in some countries to positive in other countries, suggesting that different markets may need different long-run investment strategies. Moreover, we show persistence of a finite unconditional variance that appears strong in developed countries but less significant in developing countries. Finally, leverage appears to have asymmetric effects on the value premium in eight countries including: USA, Canada, Denmark, Finland, New Zealand, Sweden, the UK and Poland.
اللغةen
الناشرQatar University
الموضوعValue premium
Leverage Effect
Volatility
Conditional Variance
GARCH
TARCH
العنوانTHE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE
النوعArticle
الصفحات33 - 50
رقم العدد1
رقم المجلد18
dc.accessType Open Access


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