Asymmetric correlations in equity returns: A fundamental-based explanation
作者： Liang Ding , Hiroyoki Miyake , Hao Zou
DOI: 10.1080/09603107.2010.532106
关键词: Asymmetry 、 Financial economics 、 Stock portfolio 、 Phenomenon 、 Economics 、 Equity (finance) 、 Econometrics
摘要: Many studies have shown that the correlation of stock portfolio returns is higher during market downturns, while very few them offer an explanation for causes such asymmetry. This article examines potential fundamental phenomenon. We find asymmetry caused by following sources downturns: increasing common risk, individual risk and more sensitive loadings these factors. also factors can only partially explain asymmetric correlation. Possible mechanisms to drive are discussed in article.
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sci-hub.se 参考文章(32)
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