Artikel
The impact of the leverage effect on the implied volatility smile: evidence for the German option market
It is a widely known theoretical derivation, that the firm’s leverage is negatively related to volatility of stock returns, although the empirical evidence is still outstanding. To empirically evaluate the leverage we first complement previous simulation studies by deriving theoretical predictions of leverage changes on the volatility smile. Even more important, we empirically test these predictions with an event study using intra-day Eurex option data and a unique data set of 138 ad-hoc news. For our theoretically derived predictions we observe that changes in leverage of DAX companies from 1999 to 2014 cause significant changes to the implied volatility smile.
- Language
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Englisch
- Bibliographic citation
-
Journal: Review of Derivatives Research ; ISSN: 1573-7144 ; Volume: 24 ; Year: 2020 ; Issue: 2 ; Pages: 95-133 ; New York, NY: Springer US
- Classification
-
Wirtschaft
Estimation: General
Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
-
Implied volatilty smile
Leverage effect
Event study
Tick data
- Event
-
Geistige Schöpfung
- (who)
-
Rathgeber, A. W.
Stadler, J.
Stöckl, S.
- Event
-
Veröffentlichung
- (who)
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Springer US
- (where)
-
New York, NY
- (when)
-
2020
- DOI
-
doi:10.1007/s11147-020-09171-3
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Rathgeber, A. W.
- Stadler, J.
- Stöckl, S.
- Springer US
Time of origin
- 2020
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