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)
Full text not currently available from Enlighten.
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 |
University Staff: Request a correction | Enlighten Editors: Update this record