Asymmetries in stock returns: Statistical tests and economic evaluation
Asymmetries in stock returns: Statistical tests and economic evaluation
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DOI:
10.1093/rfs/hhl037
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发表时间:
2007-09-01
影响因子:
8.2
通讯作者:
Zhou, Guofu
中科院分区:
文献类型:
--
作者:
Hong, Yongmiao;Tu, Jun;Zhou, Guofu
We provide a model-free test for asymmetric correlations in which stocks move more often with the market when the market goes down than when it goes up, and also provide such tests for asymmetric betas and covariances. When stocks are sorted by size, book-to-market, and momentum, we find strong evidence of asymmetries for both size and momentum portfolios, but no evidence for book-to-market portfolios. Moreover, we evaluate the economic significance of incorporating asymmetries into investment decisions, and find that they can be of substantial economic importance for an investor with a disappointment aversion (DA) preference as described by Ang, Bekaert, and Liu (2005).