<P>作者：Andrew Ang Columbia University and NBER<BR>Joseph Chen University of Southern California<BR>Yuhang Xing Rice University<BR>This Version: 3 March 2004</P>

<P>¤This paper is a substantial revision of an earlier paper titled ”Downside Correlation and Expected Stock Returns”. The authors thank Brad Barber, Geert Bekaert, Alon Brav, John Cochrane, Randy Cohen, Kent Daniel, Bob Dittmar, Rob Engle,Wayne Ferson, David Hirschleifer, N. Jegadeesh, Jonathan Lewellen, Qing Li, Terence Lim, Toby Moskowitz, ˇ Luboˇs P´astor, Akhtar Siddique, Rob Stambaugh, and Zhenyu Wang. We especially thank Cam Harvey (the editor) and Bob Hodrick for detailed comments. We thank seminar participants at Columbia University, Koc University, NYU, USC, the European Finance Association, the Five Star Conference, an NBER Asset Pricing Meeting, the Texas Finance<BR>Festival, and the Western Finance Association for helpful discussions. We thank two referees whose comments greatly improved the paper. The authors acknowledge funding from a Q-Group research grant. </P>
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