Determinants of Downside Sample Clauses

Determinants of Downside. Asymmetric Dependence‌ I explore the determinants of DownAsy using cross-sectional Fama-MacBeth (1973) re- gressions. Specifically, at each month, I regress realized downside asymmetric dependence (DownAsy) over the next 12-month period on a set of past risk measures and firm char- acteristics variables including the lagged DownAsy estimated over the previous 12-month period. At the beginning of each month t, the past risk measures (β—, β+, Ivol, Coskew, Cokurt) are estimated over the previous 12-month period (t − 12 to t − 1). Size, Bm, Turn, ▇▇▇▇▇, Mom and ▇▇▇ are calculated at the beginning of the month t. The regression results are in Table 2.10. We can see that DownAsy is not persistent over time and hard to predict even with all these past variables. When using lagged DownAsy as the only predictor variable, the coefficient 0.058, although highly significant (t = 6.6), is far from 1. The corresponding R2 is lower than 0.01, meaning most variations in current DownAsy cannot be explained by past DownAsy. Size effect is still clear in the predictive setting. Large market capitalization predicts low future downside asymmetric risk. The relationship between current book- to-market ratio and future DownAsy is positive and significant. High current cokurtosis predicts low DownAsy in the future. But the R2 is only 0.056 even if we put all these past variables as predictors.
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