The leverage effect without leverage
AbstractWe use experimental stock markets to add more evidence that Black's [1976. Proceedings of the 1976 Meeting of the Business and Economic Statistics Section. American Statistical Association, pp. 177-181] leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage effect is observed although the underlying asset does not exhibit any financial leverage at all.
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Bibliographic InfoArticle provided by Elsevier in its journal Finance Research Letters.
Volume (Year): 6 (2009)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/frl
Financial leverage Leverage effect Down-market effect Experimental stock markets Double auction markets;
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