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
我们提供了一个无模型的非对称相关性检验，其中股票在市场下跌时比在市场上涨时更频繁地随市场波动，并且还提供了非对称贝塔和协方差的检验。当股票按规模、账面市值比和动量进行排序时，我们发现了规模和动量投资组合不对称的强有力证据，但账面市值比投资组合没有证据。此外，我们评估了将不对称性纳入投资决策的经济意义，并发现它们对具有失望厌恶（DA）偏好的投资者具有重要的经济意义，如Ang，Bekaert和Liu（2005）所述。
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).