TY  - JOUR
AU  - Ang,Andrew
AU  - Chen,Joseph
AU  - Xing,Yuhang
TI  - Downside Risk and the Momentum Effect
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 8643
PY  - 2001
Y2  - December 2001
UR  - http://www.nber.org/papers/w8643
L1  - http://www.nber.org/papers/w8643.pdf
N1  - Author contact info:
Andrew Ang
Columbia Business School
3022 Broadway 413 Uris
New York, NY 10027
Tel: 212/854-9154
Fax: 212/662-8474
E-Mail: aa610@columbia.edu

Joseph Chen
Graduate School of Management
University of California, Davis
One Shields Avenue
3216 Gallagher Hall
Davis, CA 95616-8609
Tel: (530) 752-7155
Fax: (530) 752-2924
E-Mail: chenjs@ucdavis.edu

Yuhang Xing
Columbia University
Jones School of Management, MS 531
Rice  University
6100 Main Street
Houston, TX 77004
Tel: 7133484167
E-Mail: yxing@rice.edu
AB  - Stocks with greater downside risk, which is measured by higher correlations conditional on downside moves of the market, have higher returns. After controlling for the market beta, the size effect and the book-to-market effect, the average rate of return on stocks with the greatest downside risk exceeds the average rate of return on stocks with the least downside risk by 6.55% per annum. Downside risk is important for explaining the cross-section of expected returns. In particular of the profitability of investing in momentum strategies can be explained as compensation for bearing high exposure to downside risk.
ER  -