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Author: Birgit Charlotte Müller
Publisher: Springer Gabler
ISBN: 9783658354787
Category : Business & Economics
Languages : de
Pages : 147
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Book Description
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Author: Birgit Charlotte Müller
Publisher: Springer Gabler
ISBN: 9783658354787
Category : Business & Economics
Languages : de
Pages : 147
Get Book Here
Book Description
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Author: Amir Akbari
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
"This thesis explores the role of borrowing frictions, exchange rate risk, and intertemporal demand in stock prices across international financial markets. Specifically, I study how global asset prices are governed, considering the constraints and incentives that investors face when making investment decisions. The first essay adds a new dimension to the research on the dynamics of global market integration, providing an explanation for reversals in market integration via funding illiquidity. I show that when funding capital dries out, investors, unable to borrow and trade freely, fail to facilitate the integration process. Therefore, international asset prices during these periods are explained more by country-specific asset pricing factors than by global asset pricing factors. The second essay explores the role of exchange rate risk and intertemporal demand in international markets. These sources of risk are linked via the interest rate channel and are both likely proxies of the state variables that affect asset prices over time. We carefully disentangle the two risk factors and study the international equity market indices with multiple risk factors in a large cross-section through time. We show that the evidence of global pricing of risk crucially hinges on pooling assets with substantial cross-sectional variation. The third essay introduces a methodological innovation to study the dynamics of the compensation for the intertemporal risk in business cycles. Specifically, we contribute to the empirical asset pricing literature by studying the relative importance of prices of intertemporal risk during recessions, recoveries, and expansions." --
Author: Ali Shahrad
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
"This thesis consists of three essays in empirical asset pricing. In the first essay, I study momentum crashes in emerging equity markets. In particular, I investigate that the momentum crashes are related to volatility, unconditional of the market state. I use emerging stock markets as a laboratory because of their high volatility in both bear and bull markets. My main finding is that momentum crashes are not limited to bear markets, and in fact, one third are experienced in bull markets. These crashes do not fit into the optionality model of Daniel and Moskowitz (2016). Instead, I provide evidence that momentum crashes are linked to the market volatility. In volatile states, the optionality payoff of momentum increases and momentum skewness decreases. Furthermore, I show that the poor performance of momentum in EMs is due to the high volatility in these markets. In the second essay, I investigate whether excessive shortselling is the primary cause for momentum crashes. My hypothesis is that the excessive shortselling of the loser stocks pushes their price below their fundamental values. When the market rebounds, the reversal in the price of the losers leads to momentum crash. I collect the data on shortselling policies across countries, and test whether momentum crashes less in markets with shortselling ban, controlling for the market state and volatility. My results show that the crashes are less severe in markets with shortselling ban, suggesting that shortselling partially explains momentum crashes.In the third essay, I study the mutual fund industry in 77 countries and examine how the fund styles are developed on the aggregate level. I apply textual analysis to the fund names in order to classify funds. I find that the 20 most frequently used words appear in over 50% of all fund names and I define 10 categories (“styles”) based on those (and related) words. These 10 categories are sufficient to classify over 85% of all funds. I find that the menu of funds are remarkably universal. My main result shows how the menu of funds offered to investors in those 77 countries converges over time to a common (“global”) menu of funds. I trace this surprisingly simple and uniform process of global menu convergence to the actions of individual fund families who follow similar growth paths. My results shed new light on the aggregate process of financial innovation and the industrial organization of the asset management industry that appears to produce the same “wholesale” menu around the world"--
Author: Christian Funke
Publisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123
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Book Description
Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author: Wenqing Wang
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 342
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Book Description
Author: Stephen Szaura
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
"This thesis comprises three essays in empirical asset pricing. My first essay entitled "Are stock and corporate bond markets integrated? A Big Data Approach" I document the existence a growing Factor Zoo of discovered characteristics and factors that predict the cross-section of corporate bond returns and generate a significant high minus low portfolio alpha. I determine a higher statistical benchmark, by accounting for those characteristics and factors that have been discovered in published and working papers and find that in cross-sectional regressions and portfolio sorts of over a hundred characteristics and factors, on average 2.4% predict the cross-section of corporate bond returns when adjusting for higher benchmarks. A multivariate horse-race of all characteristics and factors in cross-sectional regressions finds a higher number of corporate bond, rather than stock, characteristics and factors that predict the cross-section of corporate bond returns when adjusting for higher benchmarks. In addition to the lower number of corporate bond characteristics and factors that predict the cross-section of stock returns, my results show that the stock and corporate bond markets are more segmented than previously documented.My second essay is based on a joint working paper entitled "Do Option Implied Measures of Stock Mispricing Find Investment Opportunities or Market Frictions" where we find that existing option implied stock mis-pricing measures, the portfolios identified as being the most mispriced (highest quintile), typically have the highest shorting fee. When those stocks are omitted, the average abnormal returns of the long-short stock portfolios are insignificant or greatly reduced in economic magnitude. We propose a new measure, IPD, using a novel intra-day options trades data set, circumvents this and does not require shorting hard to borrow firms.My third essay is based on a joint working paper entitled "Accounting Transparency and the Implied Volatility Skew". We show theoretically and empirically that firms with higher accounting transparency have an implied volatility smirk that is more sensitive to leverage (vice versa). The more clear the accounting information the more skewed the implied volatility smirk. Our theoretical predictions rely on extending the Duffie and Lando [2001] credit risk model to stock option pricing whereby incomplete accounting information and the risk of bankruptcy together act as an economic source of jump risk for stocks. Empirical tests confirm the theoretical predictions of the model and the model can be solved in closed form solution up to Bivariate Standard Normal Cumulative Distribution Function"--
Author: Gang Li
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This dissertation contains three essays on empirical asset pricing. In the first essay, I study the relationship between idiosyncratic volatility and expected returns of risky assets. I find that when the true asset pricing model cannot be identified, the idiosyncratic volatility obtained from a misspecified model contains information regarding the hedge portfolio in Merton's (1973) ICAPM. Empirically, I find that from 1815 to 2018, a combination of equal-weighted idiosyncratic volatility (EWIV) and value-weighted idiosyncratic volatility (VWIV) can strongly forecast stock market returns over short- and long-term horizons. Furthermore, EWIV and VWIV jointly can explain the cross-section of average stock returns. I show that the combination of EWIV and VWIV is a proxy for the conditional covariance risk in the ICAPM. The deduction also provides new insights concerning the tail risk measure proposed by Kelly and Jiang (2014). The second essay is a joint work with Bing Han. We propose a new and robust predictor of stock market returns and real economic activities based on information from equity options. We aggregate the difference in implied volatilities of at-the-money call and put options across stocks and find that the aggregate implied volatility spread (IVS) is significantly and positively related to future stock market returns. We attribute the predictive power to common informed trading in equity options instead of time-varying risk premium. The third essay, coauthored with Yoontae Jeon and Raymond Kan, studies the expected option return under an extended Black-Scholes model that incorporates the presence of stock return autocorrelation. We show that expected returns of both call and put options are increasing functions of return autocorrelation coefficient of the underlying stock. We find strong empirical evidence from the cross-section of average returns of equity options to support this prediction. Average returns of calls and puts as well as straddle returns all show monotonically increasing relationship with the degree of underlying stock's return autocorrelation coefficient. We also examine how the information on stock return autocorrelation helps investors to improve the out-of-sample performance of their portfolios.
Author: Alessio Alberto Saretto
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 322
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Book Description
Author: Fei Fang
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This dissertation focuses on empirical asset pricing, including stock and options pricing. In the first and third chapter, we examine the linkage between stock market and options market at firm level. In Chapter Two, we documents the impact that systematic variance risk has for option prices of individual stocks. In the first chapter, we study the relation between future stock returns and option-based measures. We find that the options-based measure - future stock return relation is strongest for relatively less liquid stocks. After taking transaction costs into consideration, the risk-adjusted returns of the long-short stock portfolios do not differ significantly between stock liquidity groups. This chapter provides better understanding on the options-based stock return predictability. In the second chapter, we construct novel factors to mimic variance risk related to firm characteristics using individual stocks' variance risk premium. We then document that market variance risk premium and variance risk mimicking factors have strong explanatory power for option prices. Our new analytic framework links the variance risk factors related to firm characteristics to the individual equity option price structure. In the third chapter, we provide additional empirical results on how stock price can affect option prices. Our preliminary results reveal a link between the informational inefficiency of stock price and option prices. We find that a greater departure from random walk leads to a lower level of implied volatility (compared to realized volatility) and a steeper implied volatility curve.
Author: Chishen Wei
Publisher:
ISBN:
Category :
Languages : en
Pages : 170
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Book Description
This dissertation contains two essays that use empirical techniques to shed light on open questions in the asset pricing literature. In the first essay, I investigate whether foreign institutional investors affect stock liquidity in domestic equity markets. The evidence indicates that stocks with higher foreign institutional ownership subsequently experience higher liquidity. However, it is difficult to interpret the causal relation of this finding because institutional investors self-select into more liquid stocks. To solve this problem, I exploit a provision in the 2003 US dividend tax cut which extends tax-relief to dividends from US tax-treaty countries but not to dividends from non-treaty countries. This natural experiment suggests a causal link between foreign institutional investors and liquidity. Consistent with the predictions of theoretical models, I find that liquidity improves due to foreign institutional investors increasing information competition. In the second essay, I introduce a new measure of difference of opinion using mutual fund portfolio weights to test prominent competing theories of the effect of heterogeneous beliefs on asset prices. The over-valuation theory (Miller (1977)) proposes that in the presence of short-sale constraints stock prices reflects only the view of optimistic investors which implies lower subsequent returns. Alternatively, neo-classical asset pricing models (Williams (1977), Merton (1987)) suggest that differences of opinions indicate high levels of information uncertainty or risk which implies higher expected returns. My initial result finds no support for the over-valuation theory. Instead, the measure used in this study finds that high differences of opinion stocks weakly outperform low differences of opinion stocks by 2.42% annually which is more consistent with the information uncertainty explanation.
