Katz, Yuri A.; Tian, Li - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 20, pp. 4989-4996
We study the probability distributions of daily leverage returns of 520 North American industrial companies that survive de-listing during the financial crisis, 2006–2012. We provide evidence that distributions of unbiased leverage returns of all individual firms belong to the class of...