Value, Size, Momentum And The Average Correlation Of Stock Returns

Value, Size, Momentum And The Average Correlation Of Stock Returns Christoph Becker University of Applied Sciences Darmstadt Wolfgang M. Schmidt Frankfurt School of Finance & Management Gemeinnützige GmbH November 19, 2015 Abstract: Dynamic average correlations of stock returns are predicted by the volatility of the market excess return and moving average returns of value, size and…