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RecordNumber
107
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Author
Andrew A. Christie
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Title of Article
The stochastic behavior of common stock variances:: Value, leverage and interest rate effects
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Title Of Journal
Journal of Financial Economics
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PublishInfo
Elsevier ,
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Publication Year
1982
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Volum
10
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Issue Number
4
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Page
407-432
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Notes
براي دانلود و مشاهده مقاله به قسمت لينكهاي مرتبط مراجعه نماييد
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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.
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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
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Link To Document :
