Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation
提出无模型检验方法，发现规模和动量组合的股票在市场下跌时与市场联动更强，并证明这种不对称性对失望厌恶型投资者具有重要经济价值。
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). , Oxford University Press.