Asymmetries in stock returns: Statistical tests and economic evaluation

• Main Authors: HONG, Yongmiao, TU, Jun, ZHOU, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: Finance and Financial Management; Portfolio and Security Analysis
• 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
• Institution: Singapore Management University

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...