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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jempfin.2018.07.008
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
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.