Journal of Empirical Finance, Volume 48, September 2018, Pages 290-306

检验美国股票收益的杠杆效应

作者：Christophe Chorro (University Paris 1 Panthéon-Sorbonne)

Dominique Guégan (University Paris 1 Panthéon-Sorbonne)

Florian Ielpo (Centre d’Economie de la Sorbonne)

Hanjarivo Lalaharison (Université d’Antananarivo)

摘要：本文质疑杠杆效应对预测股票收益动态的实证有效性。样本内，我们一致地发现过去25年标普500指数回报中杠杆效应的显著但有限的贡献。从样本外的预测角度和使用各种不同的模型来看，我们发现，只要使用了非对称和肥尾条件分布，使用杠杆效应没有统计或经济意义。这一结论同时适用于指数层面和股票指数中70％的成分股。

关键词：非对称；GARCH模型；混合高斯分布；广义双曲线分布；标普500；杠杆效应

Testing for leverage effects in the returns of US equities

Christophe Chorro (University Paris 1 Panthéon-Sorbonne), Dominique Guégan (University Paris 1 Panthéon-Sorbonne)，Florian Ielpo (Centre d’Economie de la Sorbonne) , Hanjarivo Lalaharison (Université d’Antananarivo)

ABSTRACT

This article questions the empirical usefulness of leverage effects to forecast the dynamics of equity returns. In sample, we consistently find a significant but limited contribution of leverage effects over the past 25 years of S&P 500 returns. From an out-of-sample forecasting perspective and using a variety of different models, we find no statistical or economical value in using leverage effects, provided that an asymmetric and fat-tailed conditional distribution is used. This conclusion holds both at the index level and for 70% of the individual stocks constituents of the equity index.

Keywords: Asymmetry; GARCH; Mixture of Gaussian distributions; Generalized hyperbolic distributions; S&P 500; Leverage effect

原文链接：

https://www.sciencedirect.com/science/article/pii/S0927539818300574

翻译：陈然