Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
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 find strong evidence of asymmetries for both size and momentum portfolios, but no evidence for book-to-market portfolios. Moreover, we evaluate the economic significance of incorporating asym- metries into investment decisions, and find that they can be of substantial economic importance for an investor with a disappointment aversion preference as described by Ang, Bekaert and Liu (2005).
Yongmiao Hong Jun Tu Guofu Zhou
Cornell University and Xiamen University Singapore Management University Olin School of Business, Washington University, St.Louis, MO 63130
国际会议
成都
英文
1-45
2007-07-09（万方平台首次上网日期，不代表论文的发表时间）