Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
研究了两种非参数估计杠杆效应的方法：仅用股价的稳健估计和加入波动率工具（如VIX）的更高效估计，并实证分析了杠杆效应与债务权益比、信用风险及非流动性的关系。
We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the Chicago Board Options Exchange (CBOE) volatility index (VIX) or the Black–Scholes implied volatility. The theoretical justification for the instrument-based estimator relies on a certain invariance property, which can be exploited when high-frequency data are available. The price-only estimator is more robust since it is valid under weaker assumptions. However, in the presence of a valid volatility instrument, the price-only estimator is inefficient as the instrument-based estimator has a faster rate of convergence.We consider an empirical application, in which we study the relationship between the leverage effect and the debt-to-equity ratio, credit risk, and illiquidity. Supplementary materials for this article are available online.