Asymmetric Volatility and Risk in Equity Markets

@article{Bekaert1997AsymmetricVA,
  title={Asymmetric Volatility and Risk in Equity Markets},
  author={Geert Bekaert and Guojun Wu},
  journal={Corporate Finance: Valuation},
  year={1997}
}
It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical application uses the market portfolio and portfolios with different leverage constructed from Nikkei 225 stocks, extending the empirical… 

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