Seminar 217, Risk Management: Does the Leverage Effect Affect the Distribution of Return

Seminar 217, Risk Management: Does the Leverage Effect Affect the Distribution of Return

Risk Seminar
Sep 3, 2019, 11:00 AM - 12:30 PM | 1011 Evans Hall | Happening As Scheduled
Speaker: Dangxing Chen, UC Berkeley (Speaker - Featured)
The leverage effect refers to the generally negative correlation between the return of an asset and the changes in its volatility. There is broad agreement in the literature that the effect should be present, and it has been consistently found in empirical work. However, a few papers have pointed out a puzzle: the return distribution of many assets do not appear to be affected by the leverage...