Correlation risk

Ang, 2002, International asset allocation with regime shifts, Review of Financial Studies, 15, 1137, 10.1093/rfs/15.4.1137 Ang, 2001 Ang, 2006, Downside risk, Review of Financial Studies, 19, 1191, 10.1093/rfs/hhj035 Ang, 2006, The cross-section of volatility and expected returns, Journal of Finance, 61, 259, 10.1111/j.1540-6261.2006.00836.x Ang, 2008 Bawa, 1977, Capital market equilibrium in a mean-lower partial moment framework, Journal of Financial Economics, 5, 189, 10.1016/0304-405X(77)90017-4 Bekaert, G., Hodrick, R., Zhang, X., in press. International stock return comovements. Journal of Finance. Breeden, 1989, Empirical tests of the consumption-oriented CAPM, Journal of Finance, 44, 231, 10.2307/2328589 Brennan, 2004, Estimation and test of a simple model of intertemporal capital asset pricing, Journal of Finance, 59, 1743, 10.1111/j.1540-6261.2004.00678.x Campbell, 1987, Stock returns and the term structure, Journal of Financial Economics, 18, 373, 10.1016/0304-405X(87)90045-6 Campbell, 2001, Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk, Journal of Finance, 56, 1, 10.1111/0022-1082.00318 Chen, 1986, Economic forces and the stock market, Journal of Business, 59, 383, 10.1086/296344 Collin-Dufresne, 2001, The Determinants of credit spread changes, Journal of Finance, 56, 2177, 10.1111/0022-1082.00402 Dittmar, 2002, Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of stock returns, Journal of Finance, 57, 369, 10.1111/1540-6261.00425 Driessen, J., Maenhout, P. and Vilkov, G., in press, The price of correlation risk: Evidence from equity options, Journal of Finance. Fama, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics, 25, 23, 10.1016/0304-405X(89)90095-0 Fama, 1993, Common risk factors in the returns on bonds and stocks, Journal of Financial Economics, 33, 3, 10.1016/0304-405X(93)90023-5 Fama, 1973, Risk, return, and equilibrium: Empirical tests, Journal of Political Economy, 81, 607, 10.1086/260061 Ferson, 1999, Conditioning variables and the cross-section of stock returns, Journal of Finance, 54, 1325, 10.1111/0022-1082.00148 French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2 Goetzmann, 2005, Long term global market correlations, Journal of Business,, 78, 1, 10.1086/426518 Harvey, 1999, Autoregressive conditional skewness, Journal of Financial and Quantitative Analysis, 34, 465, 10.2307/2676230 Jagannathan, 1996, The conditional CAPM and the cross-section of expected returns, Journal of Finance, 51, 3, 10.2307/2329301 Kallberg, 2008, Time-series and cross-sectional excess comovement in stock indexes, Journal of Empirical Finance, 15, 481502, 10.1016/j.jempfin.2007.06.002 Keim, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics, 17, 357, 10.1016/0304-405X(86)90070-X Kraus, 1983, On the distributional conditions for a consumption-oriented three moment CAPM, it, Journal of Finance, 38, 1381, 10.2307/2327576 Lettau, 2001, Resurrecting the (C)CAPM: A cross-sectional test when risk premia are time-varying, Journal of Political Economy, 109, 1238, 10.1086/323282 Longin, 2001, Correlation structure of international equity markets during extremely volatile periods, Journal of Finance, 56, 649, 10.1111/0022-1082.00340 Pastor, 2003, Liquidity risk and expected stock returns, Journal of Political Economy, 111, 642, 10.1086/374184 Pindyck, 1993, The comovement of stock prices, Quarterly Journal of Economics, 108, 10731104, 10.2307/2118460 Pollet, 2007 Schwert, 1989, Why does stock market volatility vary over time?, Journal of Finance,, 44, 1115, 10.2307/2328636 Shanken, 1990, Intertemporal asset pricing: an empirical investigation, Journal of Econometrics, 45, 99, 10.1016/0304-4076(90)90095-B Shanken, 1992, On the estimation of beta-pricing models, Journal of Financial Economics, 5, 1 Vassalou, 2003, News related to future GDP growth as a risk factor in equity returns, Journal of Financial Economics, 68, 47, 10.1016/S0304-405X(02)00248-9