{"title":"风险因素中的风险在哪里?从越南战争到COVID-19大流行的证据。","authors":"P. Geertsema, Helen Lu","doi":"10.2139/ssrn.3620691","DOIUrl":null,"url":null,"abstract":"During the COVID-19 pandemic (Jan 2020 - Mar 2020) all of the Fama and French (2018) factors except momentum lost money. Negative payoffs in a bad state would appear to justify the positive premia generated by these risk factors. But this is atypical – historically the value, profitability, investment and momentum factors are all more profitable in bear markets. The five non-market factors exhibit their own bull and bear market phases, but these do not correlate with the economic cycle. Factor profitability in bear markets arise primarily from the short side. Biased expectations corrected around earnings announcement offer only a partial explanation.","PeriodicalId":11410,"journal":{"name":"Econometric Modeling: Capital Markets - Risk eJournal","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2020-06-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Where Is the Risk in Risk Factors? Evidence from the Vietnam War to the COVID-19 Pandemic.\",\"authors\":\"P. Geertsema, Helen Lu\",\"doi\":\"10.2139/ssrn.3620691\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"During the COVID-19 pandemic (Jan 2020 - Mar 2020) all of the Fama and French (2018) factors except momentum lost money. Negative payoffs in a bad state would appear to justify the positive premia generated by these risk factors. But this is atypical – historically the value, profitability, investment and momentum factors are all more profitable in bear markets. The five non-market factors exhibit their own bull and bear market phases, but these do not correlate with the economic cycle. Factor profitability in bear markets arise primarily from the short side. Biased expectations corrected around earnings announcement offer only a partial explanation.\",\"PeriodicalId\":11410,\"journal\":{\"name\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2020-06-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Capital Markets - Risk eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3620691\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Capital Markets - Risk eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3620691","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Where Is the Risk in Risk Factors? Evidence from the Vietnam War to the COVID-19 Pandemic.
During the COVID-19 pandemic (Jan 2020 - Mar 2020) all of the Fama and French (2018) factors except momentum lost money. Negative payoffs in a bad state would appear to justify the positive premia generated by these risk factors. But this is atypical – historically the value, profitability, investment and momentum factors are all more profitable in bear markets. The five non-market factors exhibit their own bull and bear market phases, but these do not correlate with the economic cycle. Factor profitability in bear markets arise primarily from the short side. Biased expectations corrected around earnings announcement offer only a partial explanation.
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