تصفح Studies in Business and Economics حسب المؤلف "Al-Najjar, Basil"
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THE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE
Elgammal, Mohammed; Al-Najjar, Basil ( Qatar University , 2015 , Article)This 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 ...