Jun He
Post
Research
Note
Data
Bergen
🌞
Joseph Chen
← Papers reviewed on this blog
[2006 RFS]
跌的时候才显形:被 CAPM 漏掉的那半个 beta
Downside Risk
Jun 2026
[2002 JFE]
被「请」出市场的悲观者,藏在持股人数里
Breadth of Ownership and Stock Returns
Jun 2026
[2002 JFE]
你以为分散了风险,可一到崩盘那天,它们全抱成了团
Asymmetric Correlations of Equity Portfolios
Jun 2026
[2002 RFS]
负的协方差,凭什么就证明了「过度反应」?
Discussion of “Momentum and Autocorrelation in Stock Returns”
Jun 2026
[2001 JFE]
暴跌从不打招呼,但它会先在成交量里留下脚印
Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices
Jun 2026