fundamental difference in the cross-sectional predictability of asset and equity volatility. This difference lies in the leverage … effect component in equity volatility, and the interconnection between leverage and asset volatility …

There is large variation in the leverage effect on each weekday. In the past 15 years, the average difference between … hypothesis on why there is a leverage effect …

We revisit the relation between equity returns and financial leverage through the lens of a trade-off model with costly … returns depend on whether a firm's leverage is above or below its target leverage. The data support the model predictions …. Controlling for leverage, overlevered (underlevered) firms earn higher (lower) returns. Controlling for target leverage the …

We assess the quantitative implications of the re-use of collateral on financial market leverage, volatility, and …-use frees up collateral that can be used to back more transactions. Re-use thus contributes to the build-up of leverage and … lead to excessive leverage and lower welfare. So the analysis in this paper provides a rationale for limiting, yet not …

We assess the quantitative implications of collateral re-use on leverage, volatility, and welfare within an infinite … used to back more transactions. Re-use thus contributes to the buildup of leverage and significantly increases volatility in … agents to share risk more effectively. Allowing re-use beyond intermediate levels, however, can lead to excessive leverage and …

We revisit the relation between equity returns and financial leverage through the lens of a dynamic trade-off model …'s leverage is above or below its target leverage. We provide empirical evidence in support of the model predictions. Controlling … for leverage, overlevered (underlevered) firms earn higher (lower) returns. A quantitative version of our model reproduces …

, size, value, momentum, cashflow volatility, leverage, investment growth, term risk, and default risk. We empirically test …