  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.
