Matches in SemOpenAlex for { <https://semopenalex.org/work/W1790559996> ?p ?o ?g. }
- W1790559996 abstract "This paper develops a new method to estimate a stock's recession risk exposure and finds that the exposure to macroeconomic risk is an important determinant for stocks' cross-sectional expected returns. I construct a recession score using financial ratios and find that firms with scores in the safest decile earn 13% per year more than firms in the most risky decile during recessions. These recession-score portfolios highlight exposure to recession risk and make good candidates to test linear asset pricing models. I find that the consumption-based CAPM can explain the cross-sectional returns on these recession-score portfolios, but the CAPM cannot." @default.
- W1790559996 created "2016-06-24" @default.
- W1790559996 creator A5068271955 @default.
- W1790559996 date "2011-01-01" @default.
- W1790559996 modified "2023-09-26" @default.
- W1790559996 title "Estimating the Recession Risk Exposure of Stocks" @default.
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