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Downside Correlation and Expected Stock Returns · Study

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PreprintDownside Correlation and Expected Stock Returns

Andrew Ang2001

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Preprintgreen2001

Downside Correlation and Expected Stock Returns

Andrew Ang · Joseph S. Chen · Yuhang Xing

37 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1993Common risk factors in the returns on stocks and bonds 1997On Persistence in Mutual Fund Performance 1973Risk, Return, and Equilibrium: Empirical Tests 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency 1993Discretion versus policy rules in practice 1996Multifactor Explanations of Asset Pricing Anomalies

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2005Portfolio selection, diversification and fund-of-funds: a note 2009Risk and Return in General: Theory and Evidence 2020Downside Risk-Based Six-Factor Capital Asset Pricing Model (CAPM): A New Paradigm in Asset Pricing

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Details

Year2001

Typepreprint

Published2001-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.282986

openalex_workW2155233904

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