Essays in Technology Diffusion and Asset Pricing PDF Download
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Author: Ziemowit Konrad Bednarek
Publisher:
ISBN: 9781124140100
Category :
Languages : en
Pages : 185
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Author: Ziemowit Konrad Bednarek
Publisher:
ISBN: 9781124140100
Category :
Languages : en
Pages : 185
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Author: Po-Hsuan Hsu
Publisher:
ISBN:
Category :
Languages : en
Pages : 354
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Author: Wei Huang
Publisher:
ISBN:
Category : Capital market
Languages : en
Pages : 266
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Author: Andrew Yeh-Chi Chen
Publisher:
ISBN:
Category :
Languages : en
Pages : 162
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Chapter 3 examines general restrictions on production technologies implied by asset prices. It shows that representative firm models which are consistent with asset price data require either large capital adjustment costs, or volatile investment-specific technology shocks. These restrictions hold regardless of preferences, beliefs, operating leverage, or the completeness of asset markets. The restrictions summarize the sense in which asset prices are anomalous with respect to the theory of optimal investment.
Author: Xiaohong Zheng
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 196
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Author: Mary Tian
Publisher:
ISBN:
Category :
Languages : en
Pages : 115
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This thesis consists of three chapters in asset pricing and international finance. In Chapter 1, I examine the effect of tradability, the proportion of a firm's output that is exported, on its stock returns. The empirical patterns are consistent with the adjustment of the relative price of tradable to non-tradable goods, due to endowment shocks. I find firms that produce tradable goods have asset returns and earnings that are twice as cyclical as firms that produce non-tradable goods. A tradable minus nontradable portfolio of stock returns can predict changes in real exchange rates and the relative quantity of exports. A two-country endowment economy model formalizing the relative price mechanism is able to match the empirical facts. In Chapter 2, joint with Leonid Kogan and Roberto Rigobon, we take an openeconomy perspective on consumption growth predictability. We find that the combination of the U.S. and the world real interest rates predicts U.S. consumption growth. Predictability is highly significant, both statistically and economically, and is strongest at horizons of two to three years. The growth rate of consumption of services is more predictable than the growth rate of consumption of nondurable goods. We interpret this evidence using a two-country equilibrium exchange economy model and conclude that the predictive relation between interest rates and consumption growth is likely generated by output shocks in the non-tradable good sector. In Chapter 3, joint with Leonid Kogan, we examine the effects of data snooping on the performance of linear factor models at explaining asset pricing anomalies. We gather 22 anomalies established in the literature and create three-factor models from sorting firms into portfolios with respect to these anomalies. From 1950-2007, half of the factor models we construct can explain 31% or more of anomalies. In comparison, the CAPM and Fama French models rank in the 20th and 40th percentile of models respectively. Factors constructed from sorting by external financing characteristics (net stock issues and composite issuance) are able to explain a large proportion of anomalies. None of the models are able to explain momentum.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 131
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My dissertation studies the asset pricing implications of non-linear models, including regime-switching models and non-linear diffusion models. The first chapter investigates empirically the effects of regime switches in stock returns and volatilities. First, the empirical results suggest that the expected excess return and the volatility are the monotonically increasing functions of the investors' belief. It implies that risk aversion is time-varying and the representative agent is more risk averse in the bear regime so that higher expected excess return and higher volatility are generated in the bear regime. The empirical work also finds that the term spread, the inflation rate, and the T-bill rate have significant business cycle patterns in the predictive regressions. For example, the term spread is positively related to the stock market returns in the bull regime, but is negatively related to the stock market returns in the bear regime. This suggests that the increasing term spread is a good news in the bad regime because it indicates that the economy is improving and will recover soon, thus the investors require a lower equity premium. In the second chapter, an econometric method is developed for pricing and estimation for a newclass of non-linear diffusion processes. These type of non-linear diffusion processes are used to model the dynamics of the VIX index under both the objective measure and the risk-neutral measure, where the latter is estimated from futures prices. The difference between the drifts under the objective measure and the risk-neutral measure is defined as a measure of the variance risk premium. The predictive regressions demonstrate that the variance risk premium estimated by the non-linear diffusion models has stronger predictive power for stock returns than the affine models. In the third chapter, a hidden Markov model is used to describe the dynamics of the realized variance of stock market returns. I investigate the relations among the variance regime, variance risk premium, and stock market returns. I find that the variance risk premium, i.e., the difference between the expected return variation under the risk-neutral and the physical measures, is higher in the high-variance regime, in which the volatility-of-volatility is high. However, the positive relation between the variance risk premium and future stock returns is entirely due to a component of variance risk premium that is orthogonal to the current realized variance and the variance regime. The results suggest that the predictive power of the variance risk premium for stock returns is more likely due to its correlation with time-varying risk aversion than with time-varying risks.
Author: Chee Tong Lee
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Ran Shi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Tian Liang
Publisher:
ISBN:
Category :
Languages : en
Pages : 318
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