Asymmetries in Stock Returns : Statistical Tests and Economic Evaluation

@inproceedings{Hong2003AsymmetriesIS,
  title={Asymmetries in Stock Returns : Statistical Tests and Economic Evaluation},
  author={Yongmiao Hong and Jun Tu and Guofu Zhou},
  year={2003}
}
In this paper, we provide a model-free test for asymmetric correlations which suggest stocks tend to have greater correlations with the market when the market goes down than when it goes up. We also provide such tests for asymmetric betas and covariances. In addition, we evaluate the economic significance of asymmetric correlations by answering the question that what is the utility gain for an investor who switches from a belief of symmetric stock returns into a belief of asymmetric returns… CONTINUE READING

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