Why Does Bad News Increase Volatility and Decrease Leverage? /
The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more often than not associated with higher future volatility. We s...
| Príomhchruthaitheoir: | |
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| Rannpháirtithe: | |
| Formáid: | IRIS |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Washington, D.C. :
International Monetary Fund,
2010.
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| Sraith: | IMF Working Papers; Working Paper ;
No. 2010/206 |
| Rochtain ar líne: | Full text available on IMF |