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Author : Federico Gavazzoni
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)
Download or read book Essays on Asset Pricing Puzzles written by Federico Gavazzoni and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Consumption and Asset Pricing Puzzles written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and is motivated by several empirical failures of the standard consumption-based capital asset pricing model (CCAPM). This canonical model has proven disappointing empirically and has even been questioned whether it is theoretically valuable and practically useful even if it is in some sense the only model we have. The frustration is due to that the model performs no better in practice and generates some well-known consumption puzzles and asset pricing puzzles. The purpose of the thesis is to reexamine these puzzles and then to resolve them. After the debate of Hansen and Singleton (1983) and Hall (1988), the estimates of the elasticity of intertemporal substitution (EIS) of consumption in a representative agent model have not resulted in any consensus. Based on this observation, the first chapter of this thesis is focused on resolving the elasticity puzzle or the unresponsiveness to interest rates. We propose a new theoretical and empirical perspective on the relationship between consumption growth and asset returns. In the spirit of Hansen and Singleton (1983), we demonstrate that observed growth rate of consumption responds not only to a specific asset return but also to other asset returns. Empirically, US postwar quarterly data are used to fit the regression model derived in the chapter, and the sample period is 1953Q2-2001Q2. Empirical results show that the EIS is greater than 0.1, the maximum value considered possible by Hall (1988). Accordingly, we argue that there is no elasticity puzzle in the standard representative agent model. The second chapter provides an explanation for the puzzle of excess sensitivity of consumption to expected income proposed by Flavin (1981). We exploit consumer's superior information (i.e., windfalls in investments and in income) to integrate the consumption Euler equations into a generalized Euler equation. The implications emerging f.
Author : Dongna Zhang
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (19 download)
Download or read book Essays on Empirical Asset Pricing and Under-investment Puzzle written by Dongna Zhang and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Money and Asset Pricing written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Koeppel
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book Essays on Asset Pricing and Portfolio Optimization written by Christian Koeppel and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: WThis doctoral thesis focuses on the effects of investor sentiment on asset pricing and the challenges of portfolio optimization under parameter uncertainty. The first essay "Sentiment risk premia in the cross-section of global equity" applies a recently developed sentiment proxy to the construction of a new risk factor and provides a comprehensive understanding of its role in sentiment-augmented asset pricing models for international equity indices. We empirically demonstrate the existence of a statistically significant and economically relevant sentiment premium. Differentiating between developed and emerging markets we reveal different patterns of return reversals / persistence. Our results contribute to the explanation of global cross-sectional average excess returns, demonstrating superiority in terms of predictive power when compared to competing definitions of sentiment. The second essay "Does social media sentiment matter in the pricing of U.S. stocks?" finds that the inclusion of micro-grounded, social media-based sentiment significantly improves the performance of the five-factor model from Fama and French (2015, 2017). This holds for different industry and style portfolios such as size, value, profitability, and investment. Applying a robust GMM estimator, the sentiment risk premium provides the missing component in the behavioral asset pricing theory of Shefrin and Belotti (2008) and (partially) resolves the pricing puzzles of small extreme growth, small extreme investment stocks and small stocks that invest heavily despite low profitability. The third essay "Diversifying estimation errors: An efficient averaging rule for portfolio optimization" proposes a combination of established minimum-variance strategies to minimize the expected out-of-sample variance. The proposed averaging rule overcomes the strategy selection problem and diversifies estimation errors of the strategies included in our rule. Extensive simulations show that the contributions of estimation errors to the out-of-sample variances are uncorrelated between the considered strategies. We therefore conclude that averaging over multiple strategies offers sizable diversification benefits.
Author : St?phane Chr?tien
Publisher : LAP Lambert Academic Publishing
ISBN 13 : 9783846583357
Total Pages : 136 pages
Book Rating : 4.5/5 (833 download)
Download or read book Essays on Asset Pricing with Stochastic Discount Factors written by St?phane Chr?tien and published by LAP Lambert Academic Publishing. This book was released on 2012-02 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many financial models are evaluated using the stochastic discount factor (SDF) approach because of its simplicity, flexibility and universality. The two essays of this work exploit these characteristics to re-examine two long-standing asset pricing topics: consumption-based and performance measurement models. The first essay develops a methodology to understand and compare the sources of pricing errors in models based on SDF moments. The method allows a new investigation of preference-based explanations of the risk-free rate, term premium and risk premium puzzles. The second essay presents a method to measure performance evaluation by developing bounds on admissible performance measures that are free from inference errors. The bounds are furthermore used in ranking mutual funds and as a diagnostic instrument for evaluating candidate performance measures. Each essay carefully establishes the empirical relevancy of the proposed methodologies. These extensions of the SDF framework provide important new insights and have numerous finance applications for academic researchers and practitioners.
Author : Garrett Henry TeSelle
Publisher :
ISBN 13 :
Total Pages : 412 pages
Book Rating : 4.:/5 (319 download)
Download or read book Econometric Issues in Asset Pricing Puzzles written by Garrett Henry TeSelle and published by . This book was released on 1996 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Quan Wen
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on Asset Pricing Anomalies written by Quan Wen and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Beata Gafka
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Essays on Asset Pricing written by Beata Gafka and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zongming Ma
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Three Essays on Asset Pricing in Regime and ESG Environments written by Zongming Ma and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing has been a focal point among a broad range of financial studies. Traditional asset pricing models are encountering challenges by empirical data and sustainable compliance. For example, the Black-Scholes-Merton (BSM) model exhibits the "volatility smile" puzzle and the role that sustainability plays in accounting for asset pricing remains controversial. Based on these observations, I raise three research questions. First, can an option valuation model with a pricing kernel that depends on market regimes address volatility smile and be consistent with observed market prices? Second, how do the Environment, Social and Governance (ESG) ratings affect asset prices across different economic sectors, firm sizes, and time horizons? Third, since the macroeconomic environment affects firms' strategies and financial performance, how do ESG ratings affect stock returns across market regimes? I address these questions in three essays. The first essay reveals that the proposed model can predict the market option prices more accurate than the alternative models (Black-Scholes-Merton, Heston-Nandi, Hardy) do for both the in-sample and out-of-sample data across regimes. The second essay finds that ESG ratings have a positive effect on stock returns, particularly for sensitive industries (gas, oil, chemical, mining, alcohol, and tobacco, etc.), for large capitalization firms, and for long-term investment horizons. The third essay uses a machine learning method to identify market regime using 134 macroeconomic factors and a factor model to discover a positive relationship between ESG and asset returns in the bear regime. The factor model also show that the impact of ESG rating on stock returns in a sector, given a market regime, depends significantly on the level of demand in that sector under that market regime.
Author : Gurdip Bakshi
Publisher :
ISBN 13 :
Total Pages : 37 pages
Book Rating : 4.:/5 (129 download)
Download or read book Do Subjective Expectations Explain Asset Pricing Puzzles? written by Gurdip Bakshi and published by . This book was released on 2012 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The structural uncertainty model with Bayesian learning, advanced by Weitzman (AER 2007), provides a framework for gauging the effect of structural uncertainty on asset prices and risk premiums. This paper provides an operational version of this approach that incorporates realistic priors about consumption growth volatility, while guaranteeing finite asset pricing quantities. In contrast to the extant literature, the resulting asset pricing model with subjective expectations yields well-defined expected utility, finite moment generating function of consumption growth, and tractable expressions for equity premium and riskfree return. Our quantitative analysis reveals that explaining the historical equity premium and riskfree return, in the context of subjective expectations, requires implausible levels of structural uncertainty. Furthermore, these implausible prior beliefs result in consumption disaster probabilities that virtually coincide with those implied by more realistic priors. At the same time, the two sets of prior beliefs have diametrically opposite asset pricing implications: one asserting, and the other contradicting, the antipuzzle view.
Author : Keming Li
Publisher :
ISBN 13 :
Total Pages : 114 pages
Book Rating : 4.:/5 (892 download)
Download or read book Reassessing Anomalies and Puzzles written by Keming Li and published by . This book was released on 2014 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: While standard asset pricing models assume a frictionless environment and investors are risk-averse individuals who maximize their utility based on all the available information in real time. The asset pricing literature has empirically documented numerous anomalies and puzzles, which cannot be explained by the traditional finance theory. Investors are exposed to these entire abnormal phenomenons, but at the same time investors do not fully understand them. This problem motives numbers of recent publications and also my dissertation. My dissertation is consisting of three essays. The first essay looks at the components of information uncertainty. Specifically, I decompose information uncertainty into fundamental uncertainty and valuation uncertainty and find these components of information uncertainty are systematically related to financial distress. The second essay focus on an empirical puzzle: the distress puzzle. While the distress literature shows that there is a negative relationship between distress risk and expected stock returns, the reason is not fully understood. This essay provides empirical evidence that rejects the strategy action hypothesis and supports the risk shifting hypothesis in reconciling this puzzle. The third essay examines the effect of acquirer likelihood on future stock returns. In sharp contrast to prior findings, acquirer likelihood is a strong and negative predictor of cross-sectional future returns after controlling for target likelihood, which casts doubt on the rational risk explanation.
Author : Jianhua Yuan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Two Essays on Asset Pricing written by Jianhua Yuan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tae-Jin Kang
Publisher :
ISBN 13 :
Total Pages : 174 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Asset Pricing Model with Heterogenous Agents written by Tae-Jin Kang and published by . This book was released on 1991 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Minrong Zheng
Publisher :
ISBN 13 :
Total Pages : 140 pages
Book Rating : 4.:/5 (969 download)
Download or read book Three Essays on Asset Pricing in Security and Housing Markets written by Minrong Zheng and published by . This book was released on 2016 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: In my first essay, I investigate the relationship between IPO long-run underperformance (Ritter, 1991) and the idiosyncratic risk puzzle (Ang, Hodrick, Xing and Zhang, 2006), the phenomenon of abnormally low returns for stocks with high idiosyncratic risk. I show that IPO long-run underperformance is in fact a manifestation of the surprisingly low returns for high idiosyncratic risk stocks. IPO underperformance disappears after I control for the idiosyncratic risk. Specifically, the underperformance of IPO firms only presents following the months in which they are classified into the highest idiosyncratic risk quintile. On the other hand, I find that the idiosyncratic risk puzzle is magnified by the IPO underperformance for two reasons. First, IPOs are over-represented in the highest volatility quintile. Second, while stocks in the highest volatility quintile underperform in general, the intra-quintile underperformance is substantially more severe for the IPO firms. My results are robust to different sample requirements.
Author : 张耀元
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)
Download or read book Essays on Asset Pricing written by 张耀元 and published by . This book was released on 2024 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
