The Correlation Structure of Unexpected Returns in U.S. Equities
研究了美国股票市场非预期收益在极端市场波动下的相关性，发现极端下跌时相关性为负，上涨时增加，无条件分析会导致对冲偏差。
Abstract We examine the correlations between unexpected market moves and unexpected equity portfolio moves conditional on market performance. We derive unexpected returns from a two‐stage regime switching model. The model allows for time‐varying expected returns where the market portfolio alone dictates the regime switching process. Portfolios exhibit a natural hedge where correlations during extreme unexpected market downturns are generally negative. During unexpected market upswings, correlations increase. Using the unconditional analysis would lead to overhedging during market downturns and underhedging during market upswings. The adjustments to the unconditional hedging strategy conditional on extreme market movements frequently exceed ±10%.