Determinants of Stock Returns: Factors or Systematic Co-Moments? Crisis versus Non-Crisis Periods

33 Pages Posted: 18 Jan 2014 Last revised: 14 Mar 2014

See all articles by Chi-Hsiou Daniel Hung

Chi-Hsiou Daniel Hung

University of Glasgow - Adam Smith Business School

Victor Fang

Monash University - Department of Accounting

A.S.M. Sohel Azad

Deakin University

Date Written: March 11, 2014

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.

Keywords: Asset Pricing; Systematic Co-Moment; Size; Value; Momentum; Liquidity

JEL Classification: G11; G12

Suggested Citation

Hung, Chi-Hsiou Daniel and Fang, Victor and Sohel Azad, A.S.M., Determinants of Stock Returns: Factors or Systematic Co-Moments? Crisis versus Non-Crisis Periods (March 11, 2014). Available at SSRN: https://ssrn.com/abstract=2380592 or http://dx.doi.org/10.2139/ssrn.2380592

Chi-Hsiou Daniel Hung (Contact Author)

University of Glasgow - Adam Smith Business School ( email )

Gilbert Scott Building
University of Glasgow
Glasgow, Scotland G12 8QQ
United Kingdom

Victor Fang

Monash University - Department of Accounting ( email )

Building 11E
Clayton, Victoria 3800
Australia

A.S.M. Sohel Azad

Deakin University

75 Pigdons Road
Victoria, Victoria 3216
Australia

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
190
Abstract Views
1,155
rank
175,827
PlumX Metrics