The cross-sectional determinants of US stocks returns

Huang, Fangzhou 2013. The cross-sectional determinants of US stocks returns. PhD Thesis, Cardiff University. Item availability restricted.

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Abstract

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.

Item Type:	Thesis (PhD)
Status:	Unpublished
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HG Finance
Date of First Compliant Deposit:	30 March 2016
Last Modified:	19 Mar 2016 23:22
URI:	https://orca.cardiff.ac.uk/id/eprint/49343

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