McAleer, Michael; Jaskowski, Marcin - Facultad de Ciencias Económicas y Empresariales, … - 2013
Since Black (1976), the source of the stock price volatility smirk has remained a controversy. The volatility smirk is … management and investors. It is predicted that the higher is the compensation of the manager, the steeper will be the volatility … smirk, both for time series and cross sections of companies. These results may help to disentangle the leverage eect from …