Downside risk and the momentum effect:
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 exc...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2001
|
| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
8643 |
| Schlagworte: | |
| Online-Zugang: | kostenfrei |
| Zusammenfassung: | 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 exceeds the average rate of return on stocks with the least downside risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of the profitability of investing in momentum strategies can be explained as compensation for bearing high exposure to downside risk. |
| Beschreibung: | 46 S. graph. Darst. |
Internformat
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| 490 | 1 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 8643 | |
| 520 | |a 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 exceeds the average rate of return on stocks with the least downside risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of the profitability of investing in momentum strategies can be explained as compensation for bearing high exposure to downside risk. | ||
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| id | DE-604.BV035069324 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:03:34Z |
| indexdate | 2024-07-09T21:21:29Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016737727 |
| oclc_num | 48684972 |
| open_access_boolean | 1 |
| owner | DE-19 DE-BY-UBM DE-521 |
| owner_facet | DE-19 DE-BY-UBM DE-521 |
| physical | 46 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Ang, Andrew Verfasser (DE-588)124420907 aut Downside risk and the momentum effect Andrew Ang ; Joseph Chen ; Yuhang Xing Cambridge, Mass. National Bureau of Economic Research 2001 46 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 8643 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 exceeds the average rate of return on stocks with the least downside risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of the profitability of investing in momentum strategies can be explained as compensation for bearing high exposure to downside risk. Portfolio management Rate of return Risk management Stock price forecasting Chen, Joseph Sonstige (DE-588)131562134 oth Xing, Yuhang Sonstige (DE-588)129727334 oth Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 8643 (DE-604)BV002801238 8643 http://papers.nber.org/papers/w8643.pdf kostenfrei Volltext |
| spellingShingle | Ang, Andrew Downside risk and the momentum effect National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Portfolio management Rate of return Risk management Stock price forecasting |
| title | Downside risk and the momentum effect |
| title_auth | Downside risk and the momentum effect |
| title_exact_search | Downside risk and the momentum effect |
| title_exact_search_txtP | Downside risk and the momentum effect |
| title_full | Downside risk and the momentum effect Andrew Ang ; Joseph Chen ; Yuhang Xing |
| title_fullStr | Downside risk and the momentum effect Andrew Ang ; Joseph Chen ; Yuhang Xing |
| title_full_unstemmed | Downside risk and the momentum effect Andrew Ang ; Joseph Chen ; Yuhang Xing |
| title_short | Downside risk and the momentum effect |
| title_sort | downside risk and the momentum effect |
| topic | Portfolio management Rate of return Risk management Stock price forecasting |
| topic_facet | Portfolio management Rate of return Risk management Stock price forecasting |
| url | http://papers.nber.org/papers/w8643.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT angandrew downsideriskandthemomentumeffect AT chenjoseph downsideriskandthemomentumeffect AT xingyuhang downsideriskandthemomentumeffect |