It is a widely known theoretical derivation, that the firm’s leverage is negatively related to volatility of stock returns, although the empirical evidence is still outstanding. To empirically evaluate the leverage we first complement previous simulation studies by deriving theoretical predictions of leverage changes on the volatility smile. Even more important, we empirically test these predictions with an event study using intra-day Eurex option data and a unique data set of 138 ad-hoc news. For our theoretically derived predictions we observe that changes in leverage of DAX companies from 1999 to 2014 cause significant changes to the implied volatility smile.

尽管经验证据仍然很出色，但众所周知，理论上的推论是，公司的杠杆率与股票收益的波动性负相关。为了从经验上评估杠杆率，我们首先通过推导波动率微笑对杠杆率变化的理论预测来补充以前的模拟研究。更为重要的是，我们使用日内Eurex期权数据和138个临时新闻的独特数据集，通过事件研究对这些预测进行了经验检验。对于我们从理论上得出的预测，我们观察到DAX公司从1999年到2014年的杠杆率变化导致了隐含波动率微笑的显着变化。