| Tekijä: | Ang, A. Chen, J. |
| Otsikko: | Asymmetric correlations of equity portfolios |
| Lehti: | Journal of Financial Economics
2002 : MAR, VOL. 63:3, p. 443-494 |
| Asiasana: | Stock markets Stock returns Industries Models USA |
| Kieli: | eng |
| Tiivistelmä: | Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. This paper developes new statistic for measuring, comparing, and testing asymmetries in conditional correlations. It is found that conditional asymmetric correlations are fundamentally different from other measures of asymmetries, such as skewness and co-skewness. It is found that small stocks, value stocks, and past loser stocks have more asymmetric movements. Controlling for size, it is found that stocks with lower betas exhibit greater correlation asymmetries, and it is found no relationship btw. leverage and correlation asymmetries. |
SCIMA