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Previous research has shown that for stock indices, the most likely timeuntil a return of a particular size has been observed is longer for gains thanfor losses. We establish that this so-called gain/loss asymmetry is presentalso for individual stocks and show that the phenomenon is closely linked tothe well-known leverage effect -- in the EGARCH model and a modified retardedvolatility model, the same parameter that governs the magnitude of the leverageeffect also governs the gain/loss asymmetry.

Gain/loss asymmetry in time series of individual stock prices and its relationship to the leverage effect