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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2007
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| Subjects: | |
| Online Access: | 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 |
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| Institution: | Singapore Management University |
| Language: | English |