Determinants of stock returns: factors or systematic co-moments? Crisis versus non-crisis periods

Hung, C.-H. D. , Azad, A.S.M. S. and Fang, V. (2014) Determinants of stock returns: factors or systematic co-moments? Crisis versus non-crisis periods. Journal of International Financial Markets, Institutions and Money, 31, pp. 14-29. (doi:10.1016/j.intfin.2014.03.005)

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Publisher's URL: http://dx.doi.org/10.1016/j.intfin.2014.03.005

Abstract

In this paper we evaluate the intertemporal pricing performance of stock return determinants over the periods surrounding, and outside of, financial crises. The analysis focuses on the variables of size, book-to-market ratio, momentum, liquidity, and higher-order systematic co-moments. The evidence reveals that over non-crisis periods the market beta plays an important role in determining the cross-section of stock returns. Size, value, momentum, and liquidity also exhibit associations with the cross-section of stock returns. However, over crisis periods most of the variables we examined lose their explanatory power, suggesting that their usefulness is limited for investment purposes when financial markets experience crises. There is some evidence of coskewness pricing surrounding market crashes. Practitioners may consider coskewness over crisis periods.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Hung, Dr Daniel
Authors: Hung, C.-H. D., Azad, A.S.M. S., and Fang, V.
College/School:College of Social Sciences > Adam Smith Business School > Accounting and Finance
Journal Name:Journal of International Financial Markets, Institutions and Money
Publisher:Elsevier
ISSN:1042-4431
ISSN (Online):1873-0612

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