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 |