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摘要翻译：
以前的研究表明，对于股票指数来说，最有可能看到某一特定规模的回报的时间是上涨的时间比下跌的时间长。我们证明了这种所谓的收益/损失不对称也存在于个股中，并表明这种现象与众所周知的杠杆效应密切相关--在EGARCH模型和一个修正的延迟波动率模型中，控制杠杆效应大小的相同参数也控制了收益/损失不对称。
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英文标题：
《Gain/loss asymmetry in time series of individual stock prices and its
relationship to the leverage effect》
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作者：
Johannes Vitalis Siven, Jeffrey Todd Lins
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
Previous research has shown that for stock indices, the most likely time until a return of a particular size has been observed is longer for gains than for losses. We establish that this so-called gain/loss asymmetry is present also for individual stocks and show that the phenomenon is closely linked to the well-known leverage effect -- in the EGARCH model and a modified retarded volatility model, the same parameter that governs the magnitude of the leverage effect also governs the gain/loss asymmetry.
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PDF链接：
https://arxiv.org/pdf/0911.4679
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