Browsing 2015 - Volume 18 - Issue 1 by Author "Al-Najjar, Basil"
Now showing items 1-1 of 1
-
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 ...