TY - JOUR
AU - Moskowitz, Tobias J.
AB - This article examines the link between several well-known asset pricing “anomalies” and the covariance structure of returns. I find size, book-to-market, and momentum strategies exhibit a strong, weak, and negligible relation to covariance risk, respectively. A size factor helps predict future volatility and covariation, improving the efficiency of investment strategies. Moreover, its premium rises following increases in both its volatility and covariation with other assets. These effects are amplified in recessions. No such relations exist for book-to-market or momentum. These findings may shed light on explanations for these premia and present a challenging set of facts for future theory.
TI - An Analysis of Covariance Risk and Pricing Anomalies
JF - The Review of Financial Studies
DO - 10.1093/rfs/hhg007
DA - 2003-04-21
UR - https://www.deepdyve.com/lp/oxford-university-press/an-analysis-of-covariance-risk-and-pricing-anomalies-Moh6Xqj5Ew
SP - 417
EP - 457
VL - 16
IS - 2
DP - DeepDyve
ER -