Ding, Liang; Miyake, Hiroyoki; Zou, Hao - In: Applied Financial Economics 21 (2011) 6, pp. 389-399
Many studies have shown that the correlation of stock portfolio returns is higher during market downturns, while very few of them offer an explanation for the causes of such an asymmetry. This article examines potential fundamental causes for the phenomenon. We find that such an asymmetry is...
