TY - JOUR T1 - Are Size, Value, and Momentum Related to Recession Risk? JF - The Journal of Investing SP - 83 LP - 87 DO - 10.3905/joi.2004.450760 VL - 13 IS - 4 AU - Bala G Arshanapalli AU - Edmond L D'Ouville AU - William B Nelson Y1 - 2004/11/30 UR - https://pm-research.com/content/13/4/83.abstract N2 - The purpose of this study is to demonstrate that a good risk model should account for ever-changing macroeconomic risks. An increase in the time-varying variances of HML and UMD in response to an increased likelihood of a future downturn lends support to the inclusion of these risks in the formation of portfolios. ER -