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The leverage effect without leverage


Hens, Thorsten; Steude, Sven C (2009). The leverage effect without leverage. Finance Research Letters, 6(2):83-94.

Abstract

We use experimental stock markets to add more evidence that Black's [1976. Proceedings of the 1976 Meeting of the Business and Economic Statistics Section. American Statistical Association, pp. 177–181] leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage effect is observed although the underlying asset does not exhibit any financial leverage at all.

Abstract

We use experimental stock markets to add more evidence that Black's [1976. Proceedings of the 1976 Meeting of the Business and Economic Statistics Section. American Statistical Association, pp. 177–181] leverage effect in financial markets does not necessarily stem from the financial leverage of the firm. We surprisingly find a large number of markets in which the leverage effect is observed although the underlying asset does not exhibit any financial leverage at all.

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9 citations in Web of Science®
11 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, further contribution
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:27 January 2009
Deposited On:09 Apr 2009 07:22
Last Modified:06 Dec 2017 19:25
Publisher:Elsevier
ISSN:1544-6131
Publisher DOI:https://doi.org/10.1016/j.frl.2009.01.002

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