| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8643 |
| 来源ID | Working Paper 8643 |
| Downside Risk and the Momentum Effect | |
| Andrew Ang; Joseph Chen; Yuhang Xing | |
| 发表日期 | 2001-12-13 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of the profitability of investing in momentum strategies can be explained as compensation for bearing high exposure to downside risk. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w8643 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566250 |
| 推荐引用方式 GB/T 7714 | Andrew Ang,Joseph Chen,Yuhang Xing. Downside Risk and the Momentum Effect. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8643.pdf（335KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
