期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN：1955-611X
出版年度：2017
出版社：Centre d'Economie de la Sorbonne
摘要：This article questions the empirical usefulness of leverage effects to describe the dynamics ofequity returns. Relying on both in and out of sample tests we consistently find a weak contributionof leverage effects over the past 25 years of S&P 500 returns. The skewness in the conditionaldistribution of the returns’s time series model is found to explain most of the returns’ distribution’sasymmetry. This conclusion holds both at the index level and for 70% of the individual stocksconstituents of the equity index. 1
