Mohammed Elgammal Basil Al-Najjar

Abstract

This paper investigates the leverage effect on the value premium volatility usingGARCH and TARCH models utilizing a unique dataset, for twenty nine countries. Thefindings show that value premium returns are bigger in developed than in developingcountries and vary from negative values in some countries to positive in other countries,suggesting that different markets may need different long-run investment strategies.Moreover, we show persistence of a finite unconditional variance that appears strongin developed countries but less significant in developing countries. Finally, leverageappears to have asymmetric effects on the value premium in eight countries including:USA, Canada, Denmark, Finland, New Zealand, Sweden, the UK and Poland.

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Keywords

Value premium
Leverage Effect
Volatility
Conditional Variance
GARCH
TARCH

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How to Cite
Elgammal, Mohammed, and Basil Al-Najjar. 2015. “THE LEVERAGE EFFECT ON THE VALUE PREMIUM VOLATILITY: FROM AN INTERNATIONAL PERSPECTIVE”. Studies in Business and Economics 18 (1). https://doi.org/10.29117/sbe.2015.0082.
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Articles