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

Hung, Chi-Hsiou D., Azad, A.S.M. Sohel and Fang, Victor 2014, Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods, Journal of international financial markets, institutions & money, vol. 31, pp. 14-29.

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Title Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods
Author(s) Hung, Chi-Hsiou D.
Azad, A.S.M. Sohel
Fang, Victor
Journal name Journal of international financial markets, institutions & money
Volume number 31
Start page 14
End page 29
Total pages 16
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2014
ISSN 1042-4431
Keyword(s) systematic co-moment
size
value
momentum
liquidity
Summary 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.
Language eng
Field of Research 150201 Finance
Socio Economic Objective 900102 Investment Services (excl. Superannuation)
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2014, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30062742

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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