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Ang, Andrew - 2005

Economists have long recognized that investors care differently about downside losses versus upside gains. Agents who place greater weight on downside risk demand additional compensation for holding stocks with high sensitivities to downside market movements. We show that the cross-section of...

Persistent link: https://www.econbiz.de/10012466847

Using stocks or portfolios in tests of factor models

Ang, Andrew; Liu, Jun; Schwarz, Krista - In: Journal of financial and quantitative analysis : JFQA 55 (2020) 3, pp. 709-750

Persistent link: https://www.econbiz.de/10012195614

International asset allocation with time-varying correlations

Ang, Andrew; Bekaert, Geert - 1999

Persistent link: https://www.econbiz.de/10001379604

Portfolio choice with illiquid assets

Ang, Andrew; Papanikolaou, Dimitris; Westerfield, Mark M. - In: Management science : journal of the Institute for … 60 (2014) 11, pp. 2737-2761

Persistent link: https://www.econbiz.de/10010461809

Factors to assets : mapping factor exposures to asset allocations

Greenberg, David; Babu, Abhilash; Ang, Andrew - In: The journal of portfolio management : a publication of … 42 (2016) 5, pp. 18-27

Persistent link: https://www.econbiz.de/10011686666

Factor timing with cross-sectional and time-series predictors

Hodges, Philip; Hogan, Kedreth C.; Peterson, Justin R.; … - In: The journal of portfolio management : a publication of … 44 (2017) 1, pp. 30-43

Persistent link: https://www.econbiz.de/10011877409

Factor risk premiums and invested capital : calculations with stochastic discount factors

Ang, Andrew; Hogan, Kedreth C.; Shores, Sara - In: The journal of asset management 19 (2018) 3, pp. 145-155

Persistent link: https://www.econbiz.de/10011847731

International asset allocation with regime shifts

Ang, Andrew; Bekaert, Geert - In: The review of financial studies 15 (2002) 4, pp. 1137-1187

Persistent link: https://www.econbiz.de/10001716088

Asymmetric correlations of equity portfolios

Ang, Andrew; Chen, Joseph - In: Journal of financial economics 63 (2002) 3, pp. 443-494

Persistent link: https://www.econbiz.de/10001661703

Downside risk and the momentum effect

Ang, Andrew; Chen, Joseph; Xing, Yuhang - 2001

Persistent link: https://www.econbiz.de/10001632872

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