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.
- © 2004 Pageant Media Ltd
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Are Size, Value, and Momentum Related to Recession Risk?
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