Avramov, Doron; Chordia, Tarun; Goyal, Amit - In: Review of Financial Studies 19 (2006) 4, pp. 1241-1277
This article proposes a trading-based explanation for the asymmetric effect in daily volatility of individual stock returns. Previous studies propose two major hypotheses for this phenomenon: leverage effect and time-varying expected returns. However, leverage has no impact on asymmetric...