Downside Risk and the Momentum Effect
收藏NBER2001-12-01 更新2025-01-04 收录
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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
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美国国家经济研究局创建时间：
2001-12-01
