The Cross-sectional Determinants of US Stocks Returns
Author | : Fangzhou Huang |
Publisher | : |
Total Pages | : |
Release | : 2013 |
ISBN-10 | : OCLC:858000905 |
ISBN-13 | : |
Rating | : 4/5 (05 Downloads) |
Download or read book The Cross-sectional Determinants of US Stocks Returns written by Fangzhou Huang and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we investigate the relationship between the US stock returns and downside risk in a cross-sectional context. When the classic market model with a moving window approach is adopted, downside risk estimated coefficients exhibit a positive impact on stock returns. However, when two other non-linear time-varying models; the cuiic piecewise polynomial function (CPPF) and the Fourier Flexible Form (FFF) models are adopted, downside risk estimated coefficients show a negative impact on stock returns, Cross-sectinally, the reisk estimated coefficients of the town non-linear models produce a much better fit than the classic market model. The predictive power for future stock returns of downside risk estimated coefficients are found to be weak. Two more risk factors: commodityh market risk and Aruoba-Diebold-Scotti (ADS) business condition index risk (both downside and upside versions thereof), are shown to have a significant effect on stock returns.