The crash risks of style investing: Can they be internationally diversified?

Kwing Hung Timothy Chue, Yong Wang, Jin Xu

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Abstract

The crash risks of momentum tend to be higher than those of size and value. International diversification lowers the crash risks of size and value but not momentum. The authors examined the conditional correlations and return co-exceedances of style portfolios across countries and found that this difference in the effect of diversi-fication is due to the left (right) tails of momentum (size and value) portfolios being more correlated than the right (left) tails across countries.
Original languageEnglish
Pages (from-to)34-46
Number of pages13
JournalFinancial Analysts Journal
Volume71
Issue number3
DOIs
Publication statusPublished - 1 Jan 2015

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this