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Title: The cross-sectional determinants of US stocks returns
Author: Huang, Fangzhou
ISNI:       0000 0004 2738 7647
Awarding Body: Cardiff University
Current Institution: Cardiff University
Date of Award: 2013
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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.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available
Keywords: HG Finance