Thanaset Chevapatrakul

Return Asymmetry and the Cross Section of Stock Returns

This paper develops a new measure of return asymmetry, following Patil et al. (2012). We demonstrate that the return asymmetry measure helps explain the cross section of stock returns. Consistent with results in Barberis and Huang (2008), our empirical findings show that stocks with high return asymmetry exhibit low expected returns. The negative relation between return asymmetry and the cross section of stock returns persists for up to the 12-month forecast horizon and remains robust after controlling for the effects of skewness.

Coexceedance in the US and the UK Stock Markets: An Analysis of Contagion During the 2007-2009 Financial Crisis

In this paper, we empirically analyze the effect of the credit crisis of 2008 by adopting coexceedance as a contagion measure. We assess the effect of news of governmental intervention and the collapse of firms during the period from 2007 to 2009 on the coexceedance. Our approach involves transforming two time series of stock returns into one, based on their commonalities in up (positive returns) and down (negative returns) markets. The new, transformed times series reveals the shared value or magnitude in which the two markets move. This is subsequently used in a quantile regression framework as a dependent variable. The model is then estimated to investigate the extent to which the coexceedance is affected by the news of governmental intervention and the collapse of firms during the period of credit crisis. Using the related news from the UK and the US as reported in the “Global recession timeline” from 2007 to 2009, we observe that the news from the UK had some contagion effects on the lower quantiles of the distribution of the coexceedance throughout the period for most of the countries that it was paired with. Further analysis of the news announcement reveals that the effectiveness of the UK government in rescuing the troubled banking sector may have exacerbated this contagion effect. Establishing this, however, remain an area for future research since it would require an extensive analysis of the asymptotic dependence properties of the UK and US markets with their respective stock market pairs.