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Author: Liang Zhang
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 206
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Author: Liang Zhang
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 206
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Author: Thomas Ruf
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Xiaohong Zheng
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 196
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Author: Yangqiulu Luo
Publisher:
ISBN:
Category : Finance
Languages : en
Pages :
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This dissertation consists of two essays on empirical asset pricing. The first essay examines if the idiosyncratic risk is priced. Theories such as Merton (1987) predict that idiosyncratic risk should be priced when investors do not diversify their portfolio. However, the previous literature has presented a mixed set of results of the pricing of idiosyncratic risk. We find strong evidence that idiosyncratic risk is priced differently across bull and bear markets. For the sample period from June 1946 to the end of 2010, a factor portfolio long on stocks with high idiosyncratic volatility and short on stocks with low idiosyncratic volatility yields an equal-weighted monthly return of 1.59% for bull markets but -1.29% for bear markets. These evidences support the hypothesis that investors are rewarded for betting on individual stocks during bull markets and holding more diversified portfolios during bear markets. The second essay examines the role of the limits to arbitrage in the negative effect of liquidity on subsequent stock returns. I hypothesize that if the negative effect persists because of the limits to arbitrage, the effect should be more pronounced when there are more severe limits to arbitrage. My empirical evidence supports the hypothesis. In addition, I find that the effect of the limits to arbitrage on the liquidity anomaly is not correlated to the liquidity risk.
Author: Steffen Windmüller
Publisher:
ISBN: 9783754155042
Category :
Languages : en
Pages :
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Author: Flavio Nardi
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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This thesis includes two research papers in the area of empirical asset pricing. In the first research paper titled "Option implied moments and risk aversion", under reasonable assumptions, I provide empirical evidence that index options implied higher moments can predict the index returns and Sharpe ratio. Specifically, I present a method to recover option implied subjective moments of the S &P500 index under the assumption of no arbitrage and logarithmic utility. This result adds further evidence to the extensive finance literature that claims that market returns are predictable. In the second research paper titled "Expected returns: systematic risk or firm characteristics" I provide empirical evidence that expected returns can be viewed as determined by the exposure of firm returns to systematic factors that are based on firm characteristics, and not directly to the cross--sectional differences in the firm characteristics. This result addresses an ongoing debate within the empirical asset pricing literature as to whether the cross--section of expected returns is "explained" by the loadings to systematic factors or by differences in firm characteristics. The evidence I provide supports the loading to systematic factors story, consistent with the consumption asset pricing model.
Author: Junyan Shen
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Sungjun Cho
Publisher:
ISBN: 9780549054023
Category :
Languages : en
Pages : 158
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This dissertation consists of two chapters, all of which attempt to shed some light on what constitutes the time-varying risk premia in financial markets. The first chapter demonstrates that monetary policy shocks identified from New-Keynesian dynamic stochastic general equilibrium (DSGE) models explain the risk premia in stock markets. Indeed, the implied ICAPMs explain the value and the industry premia for the periods of 1980 to 2004. In particular, the permanent monetary policy shocks to inflation target capture the value premium and part of industry risk premium once I account for the capital market imperfection endogenously in New-Keynesian models. The shocks to investment technology, as a main determinant of the external finance premium, are also important for understanding the value premium.
Author: Lorne Dwight Johnson
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 198
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Author: Krista Schwarz
Publisher:
ISBN:
Category :
Languages : en
Pages : 342
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