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Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns

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  • Chi-Hsiou Hung

    (Durham Business School)

Abstract

The paper investigates the effects of firm-specific and country-specific characteristics, and the 1997 Asian financial crisis on the debt maturity structure of firms in the Asia Pacific region. Given that the economies of the sample countries were at different stages of development and were affected by the 1997 Asian financial crisis by different degrees, the paper explores the effects of the crisis on debt maturity structure by grouping the sample countries according to the severity of the crisis. The results indicate that firms adjust their debt maturity structure to target level very quickly; the maturity structure decision of a firm is the product of both its own characteristics and the economic and institutional environment in which it operates. They also reveal that the crisis had significant effects on firm’s debt maturity structure and their determinants.

Suggested Citation

  • Chi-Hsiou Hung, 2007. "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Department of Economics Working Papers 2007_02, Durham University, Department of Economics.
    • Handle: RePEc:dur:durham:2007_02
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    File URL: http://dro.dur.ac.uk/10369
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    References listed on IDEAS

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    Cited by:

    1. Lambert, M. & Hübner, G., 2013. "Comoment risk and stock returns," Journal of Empirical Finance, Elsevier, vol. 23(C), pages 191-205.
    2. Chi‐Hsiou Hung, 2008. "Return Predictability of Higher‐Moment CAPM Market Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 998-1022, September.
    3. Chi‐Hsiou Hung, 2008. "Return Predictability of Higher‐Moment CAPM Market Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7‐8), pages 998-1022, September.
    4. Chi-Hsiou Hung, 2007. "Return Explanatory Ability and Predictability of Non-Linear Market Models," Department of Economics Working Papers 2007_05, Durham University, Department of Economics.

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    More about this item

    Keywords

    Asset Pricing; Systematic Co-Moment; Momentum; Size; Value;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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