The Impact of Upside and Downside Risk on Expected Stock Returns: Across Firm Size and Value Measures

2011 ◽  
Author(s):  
Stephen P. Huffman ◽  
Cliff Moll
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Downside Risk ◽  
Expected Stock Returns ◽  
The Impact

scholarly journals Does Financial Performance Matter? Evidence on the Impact of Liquidity and Firm Size on Stock Return in Indonesia

2020 ◽  
Vol 11 (4) ◽  
pp. 546
Author(s):  
Mochammad Chabachib ◽  
Ike Setyaningrum ◽  
Hersugondo Hersugondo ◽  
Intan Shaferi ◽  
Imang Dapit Pamungkas
Keyword(s):  
Stock Returns ◽  
Firm Size ◽  
Significant Relationship ◽  
Stock Return ◽  
Stock Exchange ◽  
Mediating Effect ◽  
Return On Equity ◽  
Stock Investment ◽  
Equity Ratio ◽  
The Impact

In the modern era, stock investment can attract domestic investors or foreign investors. The objective is to invest their funds at the capital market that expect higher stock returns. The study aims to analyze factors that can affect stock returns and know the mediating effect of return on equity. The object of this research is the property and real estate sector that is listed on the Indonesia Stock Exchange from 2013 to 2018. This research used debt to equity ratio, current ratio, total asset turnover, firm size as independent variables and stock returns as dependent variables. Path analysis is used as reseach method tools with SMART PLS.The result says that debt to equity ratio and return on equity has a positive significant relationship with stock return, meanwhile firm size has a significant negative significant relationship with stock returns. Furthermore, return on equity can mediate the relationship between debt and equity ratios to stock returns.

scholarly journals The impact of liquidity and size premium on equity price formation in Serbia

2012 ◽  
Vol 57 (195) ◽  
pp. 43-78 ◽  
Author(s):  
Jelena Minovic ◽  
Bosko Zivkovic
Keyword(s):  
Asset Pricing ◽  
Stock Returns ◽  
Firm Size ◽  
Market Value ◽  
Asset Returns ◽  
Factor Models ◽  
Price Formation ◽  
Good Tool ◽  
Equity Price ◽  
The Impact

The goal of this paper is to examine the impact of an overall market factor, the factor related to the firm size, the factor related to the ratio of book to market value of companies, and the factor of liquidity risk on expected asset returns in the Serbian market. For this market we estimated different factor models: Capital Asset Pricing Model (CAPM by Sharpe, 1964), Fama-French (FF) model (1992, 1993), Liquidity-augmented CAPM (LCAPM) by Liu (2006), and combination LCAPM with FF factors. We used daily data for the period from 2005 to 2009. Using a demanding methodology and complex dataset, we found that liquidity and firm size had a significant impact on equity price formation in Serbia. On the other hand, our results suggest that the factor related to the ratio of book to market value of companies does not have an important role in asset pricing in Serbia. We found that Liu?s two factor LCAPM model performs better in explaining stock returns than the standard CAPM and the Fama-French three factor model. Additionally, Liu?s LCAPM may indeed be a good tool for realistic assessment of the expected asset returns. The combination of the Fama-French model and the LCAPM could improve the understanding of equilibrium in the Serbian equity market. Even though previous papers have mostly dealt with examining different factor models of developed or emerging markets worldwide, none of them has tested factor models on the countries of former Yugoslavia. This paper is the first to test the FF model and LCAPM with FF factors in the case of Serbia and the area of ex-Yugoslavia.

scholarly journals The impact of downside risk on UK stock returns

2019 ◽  
Vol 18 (1) ◽  
pp. 53-70
Author(s):  
Fangzhou Huang
Keyword(s):  
Stock Returns ◽  
Financial Crises ◽  
Negative Impact ◽  
Positive Impact ◽  
Downside Risk ◽  
Content Type ◽  
Portfolio Returns ◽  
Time Sensitivity ◽  
Window Approach ◽  
The Impact

PurposeThis paper aims to investigate patterns in UK stock returns related to downside risk, with particular focus on stock returns during financial crises.Design/methodology/approachFirst, stocks are sorted into five quintile portfolios based on the relevant beta values (classic beta, downside beta and upside beta, calculated by the moving window approach). Second, patterns of portfolio returns are examined during various sub-periods. Finally, predictive powers of beta and downside beta are examined.FindingsThe downside risk is observed to have a significant positive impact on contemporaneous stock returns and a negative impact on future returns in general. In contrast, an inverse relationship between risk and return is observed when stocks are sorted by beta, contrary to the classic literature. UK stock returns exhibit clear time sensitivity, especially during financial crises.Originality/valueThis paper focuses on the impact of the downside risk on UK stock returns, assessed via a comprehensive sub-period analysis. This paper fills the gap in the existing literature, in which very few studies examine the time sensitivity in relation to the downside risk and the risk-return anomaly in the UK stock market using a long sample period.

Extreme Downside Risk and Expected Stock Returns

2009 ◽  
Author(s):  
Wei Huang ◽  
Qianqiu Liu ◽  
S. Ghon Rhee ◽  
Feng Wu
Keyword(s):  
Stock Returns ◽  
Downside Risk ◽  
Expected Stock Returns

scholarly journals Variance Premium, Downside Risk, and Expected Stock Returns

2017 ◽  
Author(s):  
Bruno Feunou ◽  
Ricardo Lopez Aliouchkin ◽  
Roméo Tédongap ◽  
Lai Xu
Keyword(s):  
Stock Returns ◽  
Downside Risk ◽  
Expected Stock Returns

Is There an Intertemporal Relation between Downside Risk and Expected Returns?

2009 ◽  
Vol 44 (4) ◽  
pp. 883-909 ◽  
Author(s):  
Turan G. Bali ◽  
K. Ozgur Demirtas ◽  
Haim Levy
Keyword(s):  
Stock Returns ◽  
Value At Risk ◽  
Risk Measures ◽  
Downside Risk ◽  
Expected Returns ◽  
Significant Relation ◽  
Macroeconomic Variables ◽  
Portfolio Returns ◽  
Risk Return ◽  
Expected Stock Returns

AbstractThis paper examines the intertemporal relation between downside risk and expected stock returns. Value at Risk (VaR), expected shortfall, and tail risk are used as measures of downside risk to determine the existence and significance of a risk-return tradeoff. We find a positive and significant relation between downside risk and the portfolio returns on NYSE/AMEX/Nasdaq stocks. VaR remains a superior measure of risk when compared with the traditional risk measures. These results are robust across different stock market indices, different measures of downside risk, loss probability levels, and after controlling for macroeconomic variables and volatility over different holding periods as originally proposed by Harrison and Zhang (1999).

scholarly journals Relationship Between Capital Structure and Stock Returns of Jordanian Commercial Banks

2020 ◽  
Vol 13 (2) ◽  
pp. 100
Author(s):  
Sufian Radwan Al-Manaseer
Keyword(s):  
Capital Structure ◽  
Stock Returns ◽  
Firm Size ◽  
Commercial Banks ◽  
Negative Impact ◽  
Positive Impact ◽  
Stock Exchange ◽  
Linear Regression Analysis ◽  
The Impact ◽  
The Relationship

This study aims to analyze the relationship between capital structure and stock returns of Jordanian banks listed on the Amman Stock Exchange from 2009 to 2018. The study sample is composed of 13 commercial banks in Jordan. The e-views program is used to conduct the statistical analysis of study variables. Initially, a simple linear regression analysis is conducted to determine the impact of capital structure as measured by financial leverage on stock returns and vice versa. Then, several control variables are added: growth in assets, liquidity, firm size, and profitability. This study has found that growth, capital structure, and profitability have a positive impact on stock returns. By contrast, liquidity and firm size have a negative impact on stock returns. Stock returns and firm size have a positive impact on capital structure, whereas liquidity, growth, and profitability have a negative impact on capital structure.

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