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- handle: 10670/1.vvrm3v
- halshs: halshs-01917590
- doi: 10.1016/j.jempfin.2018.07.008
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jempfin.2018.07.008
Mots-clés
S&P 500 Leverage effect Generalized hyperbolic distributions Mixture of Gaussian distributions GARCH Asymmetry C - Mathematical and Quantitative Methods/C.C1 - Econometric and Statistical Methods and Methodology: General/C.C1.C12 - Hypothesis Testing: General C - Mathematical and Quantitative Methods/C.C2 - Single Equation Models • Single Variables/C.C2.C22 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes G - Financial Economics/G.G1 - General Financial Markets/G.G1.G17 - Financial Forecasting and SimulationSujets proches
Mechanical properties testing Trading, Stock Common stocks Stock offerings Stock issues Equity financing Stock trading Common shares Equity capital Shares of stock Equities Prediction Forecasts Futurology Equity--Law and legislation ChanceryCiter ce document
Christophe Chorro et al., « Testing for leverage effects in the returns of US equities », HAL-SHS : économie et finance, ID : 10.1016/j.jempfin.2018.07.008
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Résumé
This article questions the empirical usefulness of leverage effects to forecast the dynamics of equity returns. In sample, we consistently find a significant but limited contribution of leverage effects over the past 25 years of S&P 500 returns. From an out-of-sample forecasting perspective and using a variety of different models, we find no statistical or economical value in using leverage effects, provided that an asymmetric and fat-tailed conditional distribution is used. This conclusion holds both at the index level and for 70% of the individual stocks constituents of the equity index.