Why Does Bad News Increase Volatility and Decrease Leverage?
Year of publication: |
2010-07
|
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Authors: | Fostel, Ana ; Geanakoplos, John |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Collateral | Endogenous leverage | VaR | Volatility | Volatility smile |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | CFP 1354 Published in Journal of Economic Theory (March 2012) 147(2): 501-525 The price is None Number 1762RR 47 pages |
Classification: | D52 - Incomplete Markets ; D53 - Financial Markets ; E44 - Financial Markets and the Macroeconomy ; G01 - Financial Crises ; G11 - Portfolio Choice ; G12 - Asset Pricing |
Source: |
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Why does bad news increase volatility and decrease leverage?
Fostel, Ana, (2012)
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Why Does Bad News Increase Volatility and Decrease Leverage?
Fostel, Ana, (2010)
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