We show that the relations between the returns on the banking industry, risk factors, and other industries often are asymmetric. Lagged banking industry returns seem to improve predictability but the positive impact of a 1‐month lag of the return on the banking portfolio is much higher in the lower part of the return distribution. However, after the Dodd‐Frank Act in 2010, the cross‐autocorrelation with banks is changed and becomes negative in the upper part of the distribution. Returns on banks also seem to lead returns on five risk factors. This relation, however, is not robust across the distribution.

中文翻译：

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金融危机以及银行收益，风险因素和其他行业投资组合收益之间的不对称关系

我们表明，银行业的回报，风险因素和其他行业之间的关系通常是不对称的。滞后的银行业回报似乎改善了可预测性，但是回报滞后的1个月，回报滞后对银行投资组合的积极影响要大得多。但是，在2010年《多德-弗兰克法案》（Dodd-Frank Act）之后，与银行的互相关性发生了变化，并且在分布的上部变为负。银行的收益似乎也领先于五个风险因素的收益。但是，这种关系在整个发行版中并不牢固。