The cross-sectional determinants of US stocks returns
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 othe...
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Cardiff University
2013
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.575709 |