Testing for leverage effects in the returns of US equities
Christophe Chorro
(1)
,
Dominique Guegan
(2, 1, 3, 4)
,
Florian Ielpo
(1)
,
Hanjarivo Lalaharison
(5)
Christophe Chorro
- Fonction : Auteur
- PersonId : 16609
- IdHAL : christophe-chorro
- ORCID : 0000-0002-1214-9000
- IdRef : 114656843
Dominique Guegan
- Fonction : Auteur
- PersonId : 18037
- IdHAL : dominique-guegan
- ORCID : 0000-0003-4214-1429
- IdRef : 026905809
Florian Ielpo
- Fonction : Auteur
- PersonId : 844350
- IdRef : 129538868
Hanjarivo Lalaharison
- Fonction : Auteur
- PersonId : 884178
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.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Résumé |
en
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.
|
Titre |
en
Testing for leverage effects in the returns of US equities
|
Auteur(s) |
Christophe Chorro
1
, Dominique Guegan
2, 1, 3, 4
, Florian Ielpo
1
, Hanjarivo Lalaharison
5
1
CES -
Centre d'économie de la Sorbonne
( 15080 )
- Maison des Sciences Économiques - 106-112 Boulevard de l'Hôpital - 75647 Paris Cedex 13
- France
2
UP1 -
Université Paris 1 Panthéon-Sorbonne
( 7550 )
- 12 place du Panthéon, 75231 Paris Cedex 05
- France
3
Labex ReFi
( 472714 )
- France
4
University of Ca’ Foscari [Venice, Italy]
( 461222 )
- Dorsoduro, 3246, 30123 Venice, Italy
Universita di Venezia - Ca' Foscari
- Italie
5
Faculté des Sciences - Université d'Antananarivo
( 339551 )
- Madagascar
|
Langue du document |
Anglais
|
Nom de la revue |
|
Commentaire |
The authors thank the participants to the following conferences: CFE 2013 in London, FEBS 2014 hosted by the Surrey University, the IAAE 2014 in London, the EEA-ESEM 2016 in Geneva Switzerland and the Paris Financial Management Conference 2016 in Paris.
|
Page/Identifiant |
290-306
|
Volume |
48
|
Date de publication |
2018-09
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Vulgarisation |
Non
|
URL éditeur |
https://doi.org/10.1016/j.jempfin.2018.07.008
|
Financement |
|
Projet(s) ANR |
|
Domaine(s) |
|
Voir aussi |
|
Mots-clés (JEL) |
|
Mots-clés |
en
S&P 500, Leverage effect, Generalized hyperbolic distributions, Mixture of Gaussian distributions, GARCH, Asymmetry
|
DOI | 10.1016/j.jempfin.2018.07.008 |
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