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dc.contributor.authorHasanhodzic, Jasmina
dc.contributor.authorLo, Andrew W
dc.date.accessioned2021-04-22T19:19:12Z
dc.date.available2021-04-22T19:19:12Z
dc.date.issued2019-10
dc.identifier.issn0095-4918
dc.identifier.issn2168-8656
dc.identifier.urihttps://hdl.handle.net/1721.1/130510
dc.description.abstractOne of the most enduring empirical regularities in equity markets is the inverse relationship between stock prices and volatility. Also known as the leverage effect, this relationship was first documented by Black, who attributed it to the effects of financial or operating leverage. This article documents that firms that had no debt (and thus no financial leverage) from January 1973 to December 2017 exhibit Black’s leverage effect. Moreover, the authors find that the leverage effect of firms in this sample is not driven by operating leverage. On the contrary, in this sample the leverage effect is stronger for firms with low operating leverage as compared to those with high operating leverage. Interestingly, the firms with no debt from the lowest quintile of operating leverage exhibit a leverage effect that is on par with or stronger than that of debt-financed firms.en_US
dc.language.isoen
dc.publisherPageant Media USen_US
dc.relation.isversionofhttp://dx.doi.org/10.3905/jpm.2019.46.1.106en_US
dc.rightsCreative Commons Attribution-Noncommercial-Share Alikeen_US
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/4.0/en_US
dc.sourceMIT web domainen_US
dc.titleOn Black’s Leverage Effect in Firms with No Leverageen_US
dc.typeArticleen_US
dc.identifier.citationHasanhodzic, Jasmina and Andrew W. Lo. "On Black’s Leverage Effect in Firms with No Leverage." Journal of Portfolio Management 46, 1 (October 2019): 106-122. © 2019 Pageant Media Ltden_US
dc.contributor.departmentSloan School of Managementen_US
dc.relation.journalJournal of Portfolio Managementen_US
dc.eprint.versionOriginal manuscripten_US
dc.type.urihttp://purl.org/eprint/type/JournalArticleen_US
eprint.statushttp://purl.org/eprint/status/NonPeerRevieweden_US
dc.date.updated2021-04-15T15:47:22Z
dspace.orderedauthorsHasanhodzic, J; Lo, AWen_US
dspace.date.submission2021-04-15T15:47:23Z
mit.journal.volume46en_US
mit.journal.issue1en_US
mit.licenseOPEN_ACCESS_POLICY
mit.metadata.statusComplete


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