The volatility of a firm's assets and the leverage effect

• 成果类型: Article
• 署名作者: Choi, Jaewon; Richardson, Matthew
• 署名单位: University of Illinois System; University of Illinois Urbana-Champaign; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.05.009
• 发表日期: 2016
• 页码: 254-277
• 关键词: Asset volatility; asset returns; Leverage effect; Persistence in volatility; Asset beta

摘要

We investigate the volatility of firms' assets in contrast to existing studies that focus on equity volatility. We estimate asset volatility using a comprehensive data set on the market values of corporate security returns. We find significant differences between the properties of equity and asset volatilities with implications for several important areas of finance. First, financial leverage has a large influence on equity volatility. Second, leverage and asset volatility have permanent and transitory effects, respectively, on equity volatility, helping explain the short- and long-run dynamics of equity volatility. Third, we analyze and compare the cross-section of asset versus equity returns. (C) 2016 Published by Elsevier B.V.