%0 Journal Article %A Bala G Arshanapalli %A Edmond L D'Ouville %A William B Nelson %T Are Size, Value, and Momentum Related to Recession Risk? %D 2004 %R 10.3905/joi.2004.450760 %J The Journal of Investing %P 83-87 %V 13 %N 4 %X 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. %U https://joi.pm-research.com/content/iijinvest/13/4/83.full.pdf