The Joint Dynamics of Equity Market Factors
研究了Fama-French三因子和Carhart四因子的联合分布与动态，发现因子间存在非对称尾部依赖，线性相关低估了极端风险，考虑非线性依赖能带来显著的经济价值。
Abstract The 4 equity market factors from Fama and French (1993) and Carhart (1997) are pervasive in academia and practice. However, not much is known about their joint distribution and dynamics. We find striking evidence of asymmetric tail dependence across the factors. While the linear factor correlations are small and even negative, the extreme correlations are large and positive, so that the linear correlations drastically overstate the benefits of diversification across the factors. We model the nonlinear factor dependence dynamics and explore their economic importance in a portfolio allocation experiment showing that significant economic value is earned when acknowledging nonlinear dependence.