Assets with asymmetric correlation tend to cause portfolios to have negative skewness. We develop measures of asymmetric correlation based on portfolio skewness. We find that asymmetric correlation is better measured with the skewness of smaller portfolios. The skewnes of individual-stock returns has the most significant and consistent explanatory power for stock
Keywords: Asymmetric Correlation, Skewness, Fama-French Factors, Suppressor Variables
JEL Code: G12
학회소식
[2016년 제 4차] Asymmetric correlation as an explanation for the Effect of Asset Skewness on Equity Returns
작성자 : 관리자
조회수 : 934
게시일 :
2016-12-21
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