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...
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| フォーマット: | 雑誌 |
| 言語: | English |
| 出版事項: |
Washington, D.C. :
International Monetary Fund,
2010.
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| シリーズ: | IMF Working Papers; Working Paper ;
No. 2010/206 |
| オンライン･アクセス: | Full text available on IMF |