@article {Arshanapalli83, author = {Bala G Arshanapalli and Edmond L D{\textquoteright}Ouville and William B Nelson}, title = {Are Size, Value, and Momentum Related to Recession Risk?}, volume = {13}, number = {4}, pages = {83--87}, year = {2004}, doi = {10.3905/joi.2004.450760}, publisher = {Institutional Investor Journals Umbrella}, 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.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/13/4/83}, eprint = {https://joi.pm-research.com/content/13/4/83.full.pdf}, journal = {The Journal of Investing} }