PT  - JOURNAL ARTICLE
AU  - Bala G Arshanapalli
AU  - Edmond L D'Ouville
AU  - William B Nelson
TI  - Are Size, Value, and Momentum Related to Recession Risk?
AID  - 10.3905/joi.2004.450760
DP  - 2004 Nov 30
TA  - The Journal of Investing
PG  - 83--87
VI  - 13
IP  - 4
4099  - https://pm-research.com/content/13/4/83.short
4100  - https://pm-research.com/content/13/4/83.full
AB  - 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.