RecordNumber
107
Author
Andrew A. Christie
Title of Article
The stochastic behavior of common stock variances:: Value, leverage and interest rate effects
Title Of Journal
Journal of Financial Economics
PublishInfo
Elsevier ,
Publication Year
1982
Volum
10
Issue Number
4
Page
407-432
Notes
براي دانلود و مشاهده مقاله به قسمت لينكهاي مرتبط مراجعه نماييد
Abstract
This paper examines the relation between the variance of equity returns and several explanatory variables. It is found that equity variances have a strong positive association with both financial leverage and, contrary to the predictions of the options literature, interest rates. To a substantial degree, the negative elasticity of variance with respect to value of equity that is part of market folklore is found to be attributable to financial leverage. A maximum likehood estimator is developed for this elasticity that is substantially more efficient than extant estimation procedures.
URL
www.sciencedirect.com/science/article/pii/0304405X82900186,/DL/Data Entry/DataEntryForm/EnterDocInfo.aspx,/DL/Data Entry/NewEdit/Documents/Math_English_Electronic_Articles_EditDoc_925.aspx