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

  • Chi-Hsiou Hung

    ()

    (Durham Business School)

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.

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Paper provided by Durham University Business School in its series Working Papers with number 2007_02.

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Date of creation: 20 Mar 2007
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Handle: RePEc:dur:durham:2007_02
Contact details of provider: Postal: Durham University Business School, Mill Hill Lane, Durham DH1 3LB, England
Phone: +44 (0)191 334 5200
Fax: +44 (0)191 334 5201
Web page: http://www.dur.ac.uk/business
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  1. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Capital market equilibrium in a mean-lower partial moment framework," Journal of Financial Economics, Elsevier, vol. 5(2), pages 189-200, November.
  2. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
  3. Fang, Hsing & Lai, Tsong-Yue, 1997. "Co-Kurtosis and Capital Asset Pricing," The Financial Review, Eastern Finance Association, vol. 32(2), pages 293-307, May.
  4. Bawa, Vijay S. & Lindenberg, Eric B., 1977. "Abstract: Capital Market Equilibrium in a Mean-Lower Partial Moment Framework," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 635-635, November.
  5. Christie-David, Rohan & Chaudhry, Mukesh, 2001. "Coskewness and cokurtosis in futures markets," Journal of Empirical Finance, Elsevier, vol. 8(1), pages 55-81, March.
  6. Lim, Kian-Guan, 1989. "A New Test of the Three-Moment Capital Asset Pricing Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 24(02), pages 205-216, June.
  7. Rubinstein, Mark E, 1973. "A Comparative Statics Analysis of Risk Premiums," The Journal of Business, University of Chicago Press, vol. 46(4), pages 605-15, October.
  8. Robert F. Dittmar, 2002. "Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns," Journal of Finance, American Finance Association, vol. 57(1), pages 369-403, 02.
  9. Scott, Robert C & Horvath, Philip A, 1980. " On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-19, September.
  10. Barone-Adesi, Giovanni, 1985. "Arbitrage Equilibrium with Skewed Asset Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(03), pages 299-313, September.
  11. Smith, Daniel R., 2007. "Conditional coskewness and asset pricing," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 91-119, January.
  12. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
  13. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
  14. Carhart, Mark M, 1997. " On Persistence in Mutual Fund Performance," Journal of Finance, American Finance Association, vol. 52(1), pages 57-82, March.
  15. Jean, William H., 1971. "The Extension of Portfolio Analysis to Three or More Parameters," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(01), pages 505-515, January.
  16. Daniel Chi-Hsiou Hung & Mark Shackleton & Xinzhong Xu, 2004. "CAPM, Higher Co-moment and Factor Models of UK Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(1-2), pages 87-112.
  17. Ian Garrett, 2004. ""Discussion of" CAPM, Higher Co-moment and Factor Models of UK Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(1-2), pages 113-114.
  18. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
  19. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
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