Asymmetric correlations of equity portfolios

• 成果类型: Article
• 署名作者: Ang, A; Chen, J
• 署名单位: Columbia University; University of Southern California
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(02)00068-5
• 发表日期: 2002
• 页码: 443-494
• 关键词: stock return asymmetries; correlation; dispersion; model bias; GARCH; jurnp models; regime-switching

摘要

Correlations between U.S. stocks and the aggregate U.S. market are much greater for downside moves, especially for extreme downside moves, than for upside moves. We develop a new statistic for measuring, comparing, and testing asymmetries in conditional correlations. Conditional on the downside, correlations in the data differ from the conditional correlations implied by a normal distribution by 11.6%. We find that conditional asymmetric correlations are fundamentally different from other measures of asymmetries, such as skewness and co-skewness. We find that small stocks, value stocks, and past loser stocks have more asymmetric movements. Controlling for size, we find that stocks with lower betas exhibit greater correlation asymmetries, and we find no relationship between leverage and correlation asymmetries. Correlation asymmetries in the data reject the null hypothesis of multivariate normal distributions at daily, weekly, and monthly frequencies, However, several empirical models with greater flexibility, particularly regime-switching models, perform better tit (C) 2002 Elsevier Science B.V. All rights reserved.