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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2001
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
8643 |
| Subjects: | |
| Online Access: | Volltext |
| Summary: | 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. |
| Physical Description: | 46 S. graph. Darst. |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV035069324 | ||
| 003 | DE-604 | ||
| 005 | 20081010 | ||
| 007 | t | ||
| 008 | 080925s2001 xxud||| |||| 00||| eng d | ||
| 035 | |a (OCoLC)48684972 | ||
| 035 | |a (DE-599)BVBBV035069324 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c XD-US | ||
| 049 | |a DE-19 |a DE-521 | ||
| 050 | 0 | |a HB1 | |
| 100 | 1 | |a Ang, Andrew |e Verfasser |0 (DE-588)124420907 |4 aut | |
| 245 | 1 | 0 | |a Downside risk and the momentum effect |c Andrew Ang ; Joseph Chen ; Yuhang Xing |
| 264 | 1 | |a Cambridge, Mass. |b National Bureau of Economic Research |c 2001 | |
| 300 | |a 46 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 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. | ||
| 650 | 4 | |a Portfolio management | |
| 650 | 4 | |a Rate of return | |
| 650 | 4 | |a Risk management | |
| 650 | 4 | |a Stock price forecasting | |
| 700 | 1 | |a Chen, Joseph |e Sonstige |0 (DE-588)131562134 |4 oth | |
| 700 | 1 | |a Xing, Yuhang |e Sonstige |0 (DE-588)129727334 |4 oth | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |
| 830 | 0 | |a National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |v 8643 |w (DE-604)BV002801238 |9 8643 | |
| 856 | 4 | 1 | |u http://papers.nber.org/papers/w8643.pdf |z kostenfrei |3 Volltext |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-016737727 | ||
Record in the Search Index
| _version_ | 1804138016843759616 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Ang, Andrew |
| author_GND | (DE-588)124420907 (DE-588)131562134 (DE-588)129727334 |
| author_facet | Ang, Andrew |
| author_role | aut |
| author_sort | Ang, Andrew |
| author_variant | a a aa |
| building | Verbundindex |
| bvnumber | BV035069324 |
| callnumber-first | H - Social Science |
| callnumber-label | HB1 |
| callnumber-raw | HB1 |
| callnumber-search | HB1 |
| callnumber-sort | HB 11 |
| callnumber-subject | HB - Economic Theory and Demography |
| ctrlnum | (OCoLC)48684972 (DE-599)BVBBV035069324 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02051nam a2200397 cb4500</leader><controlfield tag="001">BV035069324</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20081010 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">080925s2001 xxud||| |||| 00||| eng d</controlfield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)48684972</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV035069324</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">XD-US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-19</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HB1</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Ang, Andrew</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)124420907</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Downside risk and the momentum effect</subfield><subfield code="c">Andrew Ang ; Joseph Chen ; Yuhang Xing</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge, Mass.</subfield><subfield code="b">National Bureau of Economic Research</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">46 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">8643</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="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.</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Portfolio management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Rate of return</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Stock price forecasting</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Chen, Joseph</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)131562134</subfield><subfield code="4">oth</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Xing, Yuhang</subfield><subfield code="e">Sonstige</subfield><subfield code="0">(DE-588)129727334</subfield><subfield code="4">oth</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe</subfield></datafield><datafield tag="830" ind1=" " ind2="0"><subfield code="a">National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series</subfield><subfield code="v">8643</subfield><subfield code="w">(DE-604)BV002801238</subfield><subfield code="9">8643</subfield></datafield><datafield tag="856" ind1="4" ind2="1"><subfield code="u">http://papers.nber.org/papers/w8643.pdf</subfield><subfield code="z">kostenfrei</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-016737727</subfield></datafield></record></collection> |
| 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 |