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 language | English |
|---|---|
| Pages (from-to) | 34-46 |
| Number of pages | 13 |
| Journal | Financial Analysts Journal |
| Volume | 71 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 1 Jan 2015 |
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics