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

Chi-Hsiou Hung ()

No 2007_02, Department of Economics Working Papers from Durham University, Department of Economics

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.

Keywords: Asset Pricing; Systematic Co-Moment; Momentum; Size; Value (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2007-03-20
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:dur:durham:2007_02

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