Asymmetries in stock returns: Statistical tests and economic evaluation

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 asymmetric betas and covariances. When stocks are sorted by size, book-to-market, and momentum, we find strong evid...

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書目詳細資料
Main Authors:	HONG, Yongmiao, TU, Jun, ZHOU, Guofu
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2007
主題:	Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/4574 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5573/viewcontent/Asymmetries_in_stock_returns_sv.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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