Downside risk and the momentum effect
By: Andrew Ang, Joseph Chen, Yuhang Xing.
Contributors: Chen, Joseph.; Xing, Yuhang.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 8643; Working paper series (National Bureau of Economic Research) -- working paper no. 8643.
Publisher: National Bureau of Economic Research
Published: 2001
Place of publication: Cambridge, MA
Language: eng
Number of pages: 46
Subjects: Risk management.; Stock price forecasting.; Rate of return.; Portfolio management.
Notes: "December 2001."

JEL no. C12, C15, C32, G12.

Includes bibliographical references (p. 31-32).

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Electronic version available via the Internet at the NBER World Wide Web site.