Empirical Asset Volatility

Leverage

Empirical Asset Vol.

BETA-CRSP VW Only

BETA-High Low Grade Bond Weight

ln(BE/ME)

ln(ME)

EDF(%)

Low Asset Volatility

Low Leverage

0.37

0.14

0.67

1.12

−0.49

6.17

0.24

2

0.52

0.13

0.68

1.22

−0.34

5.91

0.47

3

0.60

0.12

0.67

1.24

−0.21

5.75

0.67

4

0.67

0.12

0.75

1.35

−0.07

5.35

1.12

High Leverage

0.80

0.11

0.97

1.64

0.23

4.51

3.45

High-Low

0.42

−0.03

0.30

0.53

0.72

−1.66

3.21

Low Leverage

0.20

0.20

0.76

1.24

−0.81

6.31

0.13

2

0.35

0.19

0.87

1.41

−0.56

6.01

0.35

3

0.45

0.19

0.96

1.54

−0.37

5.56

0.66

4

0.55

0.19

1.02

1.65

−0.17

4.95

1.27

High Leverage

0.70

0.19

1.15

1.88

0.13

4.16

3.71

High-Low

0.49

−0.01

0.39

0.65

0.94

−2.15

3.59

Low Leverage

0.13

0.26

0.88

1.38

−1.05

6.15

0.12

2

0.25

0.26

0.99

1.58

−0.69

5.61

0.36

3

0.35

0.26

1.08

1.70

−0.52

5.21

0.72

4

0.46

0.25

1.15

1.85

−0.33

4.66

1.42

High Leverage

0.62

0.25

1.27

2.05

−0.01

3.99

4.09

High-Low

0.48

−0.01

0.38

0.68

1.04

−2.16

3.96

Low Leverage

0.09

0.36

1.11

1.70

−1.26

5.65

0.15

2

0.18

0.35

1.23

1.92

−0.91

5.23

0.43

3

0.27

0.35

1.27

2.00

−0.71

4.76

0.87

4

0.37

0.35

1.35

2.12

−0.50

4.39

1.63

High Leverage

0.53

0.34

1.43

2.27

−0.16

3.86

4.46

High-Low

0.44

−0.01

0.32

0.57

1.10

−1.79

4.31

High Asset Volatility

Low Leverage

0.04

0.58

1.55

2.37

−1.70

4.95

0.32

2

0.10

0.55

1.65

2.54

−1.26

4.67

0.68

3

0.16

0.53

1.65

2.53

−1.04

4.50

1.12

4

0.24

0.51

1.63

2.52

−0.81

4.23

1.89

High Leverage

0.40

0.49

1.65

2.56

−0.43

3.79

4.84

High-Low

0.36

−0.09

0.10

0.20

1.27

−1.16

4.52