Downside Risk and the Momentum Effect
收藏NBER2001-12-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w8643
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2001-12-01
