Price crash risk of risk factors: Evidence from U.S. stock markets

• Main Authors: Chen, Yi-Chian, 陳宜謙
• Other Authors: Kuo, Wei-Yu
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/ehmwmj

碩士 === 國立政治大學 === 國際經營與貿易學系 === 107 === In traditional investment theory, it is often assumed that asset returns are normal distribution. However, the distribution of returns in the real financial market is asymmetric, and most of the large fluctuations are falling. Take the S&P500 as an example; it has happened nine times price collapse within the top ten fluctuations since 1947. Nowadays, factor investing has become a major operational strategy for fund institutions or investors in the financial market. Therefore, this research is different from the precious literatures, using the systematic risk factors to assess price crashes risk instead of using predictors at the firm-level or the capital market. Based on the Hong and Stein Model which states that stocks come through high turnover will later on go through the negative skewness of return, this research brings the returns of portfolio constructed by seven systematic risk factors into the three mainly crash models which are NCSKEW, DUVOL and CRASH to evaluate the negative skewness of the stock return. And we have four conclusions： (1)Negative skewness is greater in stocks and market portfolio that has experienced an increase in turnover over the prior six months. (2)Market portfolio that has experienced the price crashes does not have positive return in a row over the prior thirty-six month. (3)There is positive correlation between volatility of market portfolio returns and the negative skewness of the next six months. (4)Market portfolio which constructed by momentum factor or short term reversal factor might experience more price crashes.