Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation

摘要：

We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up,and also provide such tests for asym- metric betas and covariances. When stocks are sorted by size,book-to-market and momentum,we ˉnd strong evidence of asymmetries for both size and momentum portfolios,but no evidence for book-to-market portfolios. Moreover,we evaluate the economic signiˉcance of incorporating asym- metries into investment decisions,and ˉnd that they can be of substantial economic importance for an investor with a isappointment aversion preference as described by Ang,Bekaert and Liu (2005).

作者: Yongmiao Hong Jun Tu Guofu Zhou

作者单位: Cornell University and Xiamen University Singapore Management University Washington University and CCFR

会议类型: 国际会议

会议名称: 2007年中国国际金融年会

会议地点: 成都

会议语种:英文

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）