RT Journal Article
SR Electronic
T1 Are Size, Value, and Momentum Related to Recession Risk?
JF The Journal of Investing
FD Institutional Investor Journals
SP 83
OP 87
DO 10.3905/joi.2004.450760
VO 13
IS 4
A1 Bala G Arshanapalli
A1 Edmond L D'Ouville
A1 William B Nelson
YR 2004
UL https://pm-research.com/content/13/4/83.abstract
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.