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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | The leverage effect without leverage |
| Organization Unit | |
| Authors |
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| Item Subtype | Further Contribution (e.g. review article, editorial) |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Finance Research Letters |
| Publisher | Elsevier |
| Geographical Reach | international |
| ISSN | 1544-6131 |
| Volume | 6 |
| Number | 2 |
| Page Range | 83 - 94 |
| Date | 2009 |
| Abstract Text | 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. |
| Digital Object Identifier | 10.1016/j.frl.2009.01.002 |
| Other Identification Number | merlin-id:478 |
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