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- W2891865023 endingPage "1192" @default.
- W2891865023 startingPage "1157" @default.
- W2891865023 abstract "Stocks that hedge sustained market downturns should have low expected returns, but they do not. We use ex ante firm characteristics and covariances to construct a tradable safe minus risky (SMR) portfolio that hedges market downturns out of sample. Although downturns (peaks to troughs in market index levels at the business-cycle frequency) predict significant declines in gross domestic product growth, SMR has significant positive average returns and 4-factor alphas (both around 0.8% per month). Risk-based models do not explain SMR’s returns, but mispricing does. Risky stocks are overpriced when sentiment is high, resulting in subsequent returns of -0.9% per month." @default.
- W2891865023 created "2018-09-27" @default.
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- W2891865023 date "2018-09-07" @default.
- W2891865023 modified "2023-10-16" @default.
- W2891865023 title "Getting Paid to Hedge: Why Don’t Investors Pay a Premium to Hedge Downturns?" @default.
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- W2891865023 doi "https://doi.org/10.1017/s0022109018000856" @default.
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