THE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE
الملخص
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 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.
DOI/handle
http://hdl.handle.net/10576/3568المجموعات
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- المالية والاقتصاد [415 items ]