Asymmetry in Stock Comovements: An Entropy Approach
提出一种基于熵的方法来度量个股与市场收益之间的不对称联动，发现不对称性比以往认为的更普遍，且下行不对称联动越高的股票预期收益越高。
We provide an entropy approach for measuring the asymmetric comovement between the return on a single asset and the market return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we find that asymmetry is much more pervasive than previously thought. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross section of stock returns, we find an asymmetry premium: Higher downside asymmetric comovement with the market indicates higher expected returns.