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英文文献：The Joint Dynamics of Equity Market Factors-股票市场因素的共同动态
英文文献作者：Peter Christoffersen,Hugues Langlois
英文文献摘要：
The four equity market factors from Fama and French (1993) and Carhart (1997) are perva- sive in academic empirical asset pricing studies and in applied portfolio allocation. However, the joint distributional dynamics of the factors are rarely studied. For investors basing strate- gies on the factors or using them to model the returns of a wider set of assets, proper risk management requires knowing the joint factor dynamics which we model. We ?nd striking ev- idence of asymmetric tail dependence across the factors. While the linear factor correlations are small and even negative, the extreme correlations are large and positive, so that the linear correlations drastically overstate the bene?ts of diversi?cation across the factors. We model the nonlinear factor dependence and explore its economic importance in a portfolio allocation experiment which shows that signi?cant economic value is earned when acknowledging the nonlinear dependence.
Fama和French(1993)和Carhart(1997)的四种股票市场因素在学术上的实证资产定价研究和应用的投资组合配置中都是比较深入的。然而，对这些因素的联合分布动力学研究甚少。对于以这些因素为基础的投资者，或利用这些因素为更广泛资产的回报建模的投资者，正确的风险管理需要了解我们建模的联合因素动力学。我们发现了不同因素之间不对称的尾部依赖的显著证据。当线性相关系数很小甚至是负的时候，极端相关系数很大而且是正的，所以线性相关系数极大地夸大了收益?ts diversi吗?因子间的阳离子。我们建立了非线性因子依赖的模型，并在投资组合配置实验中探讨了其经济重要性。当承认非线性相关时，不能获得经济价值。
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