Are Size, Value, and Momentum Related to Recession Risk?

Bala G Arshanapalli; Edmond L D'Ouville; William B Nelson

doi:10.3905/joi.2004.450760

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Are Size, Value, and Momentum Related to Recession Risk?

Bala G Arshanapalli, Edmond L D'Ouville and William B Nelson

The Journal of Investing Winter 2004, 13 (4) 83-87; DOI: https://doi.org/10.3905/joi.2004.450760

Bala G Arshanapalli

The Gallagher-Mills Chair in Finance at the School of Business and Economics, Indiana University Northwest, in Gary, IN.

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For correspondence: barshana@iun.edu

Edmond L D'Ouville

An associate professor of accounting at the School of Business and Economics, Indiana University Northwest.

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For correspondence: edouvill@iun.edu

William B Nelson

A professor of finance at the School of Business and Economics, Indiana University Northwest.

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For correspondence: wnelson@iun.edu

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Abstract

The purpose of this study is to demonstrate that a good risk model should account for ever-changing macroeconomic risks. An increase in the time-varying variances of HML and UMD in response to an increased likelihood of a future downturn lends support to the inclusion of these risks in the formation of portfolios.

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The Journal of Investing

Vol. 13, Issue 4

Winter 2004

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Are Size, Value, and Momentum Related to Recession Risk?