An Analysis of Covariance Risk and Pricing Anomalies
检验了规模、账面市值比和动量策略与协方差风险的关系，发现规模因子与协方差风险强相关，能预测波动和协方差变化，其溢价在经济衰退时放大，而其他异象无此关系。
This article examines the link between several well-known asset pricing "anomalies" and the covariance structure of returns. I find size, book-to-market, and momentum strategies exhibit a strong, weak, and negligible relation to covariance risk, respectively. A size factor helps predict future volatility and covariation, improving the efficiency of investment strategies. Moreover, its premium rises following increases in both its volatility and covariation with other assets. These effects are amplified in recessions. No such relations exist for book-to-market or momentum. These findings may shed light on explanations for these premia and present a challenging set of facts for future theory. Copyright 2003, Oxford University Press.