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原文連結
論文資訊
- 類型：已發表論文
- 日期：2012
摘要
A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second moments of asset returns. This paper suggests a reason why bad news is more often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, 智能體s have the incentive to invest mostly in technologies that become more volatile in bad times. 智能體s choose these technologies because they can be leveraged more during normal time:;. Together with the existing literature this explains pro-cyclical leverage. The result also gives a rationale to the pattern of volatility smiles observed in stock o
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