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Author : Mika Vaihekoski
Publisher :
ISBN 13 : 9789515555984
Total Pages : 161 pages
Book Rating : 4.5/5 (559 download)
Download or read book Essays on International Asset Pricing Models and Finnish Stock Returns written by Mika Vaihekoski and published by . This book was released on 1999 with total page 161 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mika Vaihekoski
Publisher :
ISBN 13 : 9789515555250
Total Pages : 129 pages
Book Rating : 4.5/5 (552 download)
Download or read book Essays on Conditional Asset Pricing Models and Predictability of Finnish Stock Returns written by Mika Vaihekoski and published by . This book was released on 1997 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Markku Malkamäki
Publisher :
ISBN 13 : 9789516863538
Total Pages : 180 pages
Book Rating : 4.8/5 (635 download)
Download or read book Essays on Conditional Pricing of Finnish Stocks written by Markku Malkamäki and published by . This book was released on 1993 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sundaram Janakiramanan
Publisher :
ISBN 13 :
Total Pages : 356 pages
Book Rating : 4.:/5 (319 download)
Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ulrich Johannes Hammerich
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book Essays on International Asset Pricing, Cultural Finance, and the Price Effect written by Ulrich Johannes Hammerich and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is not only a pioneer work in the new finance sphere cultural finance, but also a feat of fundamental research in international empirical asset pricing. I present significant evidence that the most basic stock characteristic, the nominal price, is consequential for stock returns (and associated with higher statistical moments) in a comprehensive cross-country dataset comprising 41 countries and a culture-dependent capital market anomaly (as it was already shown e.g. for the momentum effect). For the case of Germany, I additionally provide an in-depth analysis of the price effect (i.e. a high/low price of an asset goes hand in hand with high/low subsequent returns) as this country offers a unique possibility to investigate the evolution and trigger of this genuinely price-based capital market anomaly due to a rapid and dramatic countrywide dispersion of stock prices in the aftermath of law amendments. Furthermore, I find the explanatory power of risk factor mimicking hedge portfolios (especially RMRF, HML, and WML, i.e. the beta, value, and momentum factors), which are consistently implemented in empirical asset pricing models (like the FF 3-, 5-, and 6-factor models and the Carhart 4-factor model), as well as their effectiveness as investment styles to vary across cultures. That is, the spectrum of this dissertation strikes both implications of the weak EMH that time series data (like the price) should have no informational value for future returns and assumptions of theoretical asset pricing models that (only) systematic risk (CAPM), future investment opportunities (ICAPM) or consumption risk (CCAPM) drives asset returns (universally). Finally, yet importantly, I find evidence that even cultural characteristics in itself (measured via the cultural dimensions of Hofstede and others) have explanatory and predictive power for global, cross-sectional stock returns as well as characteristics-based (hedge) portfolio returns. By virtue of these contributions to pertinent financial research, this dissertation is an empirical primer for possible future fields of research culture-based/culture-neutral asset pricing, asset management, and asset allocation.
Author : Compiled by the British Library of Political and Economic Science
Publisher : Psychology Press
ISBN 13 : 9780415240093
Total Pages : 660 pages
Book Rating : 4.2/5 (4 download)
Download or read book Ibss: Economics: 1999 written by Compiled by the British Library of Political and Economic Science and published by Psychology Press. This book was released on 2000-12-07 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: IBSS is the essential tool for librarians, university departments, research institutions and any public or private institution whose work requires access to up-to-date and comprehensive knowledge of the social sciences
Author : Ying Wu
Publisher :
ISBN 13 :
Total Pages : 249 pages
Book Rating : 4.:/5 (913 download)
Download or read book Essays in International Asset Pricing written by Ying Wu and published by . This book was released on 2013 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical research focuses on the common risk factors in stock returns and trading activities. The first essay is titled "Asset Pricing with Extreme Liquidity Risk". Defining extreme liquidity as the tails of illiquidity for all stocks, I propose a direct measure of market-wide extreme liquidity risk and find that extreme liquidity risk is priced cross-sectionally in the U.S. equity market. From 1973 through 2011, stocks in the highest quintile of extreme liquidity risk loadings earned value-weighted average returns 6.6% per year higher than stocks in the lowest quintile. The extreme liquidity risk premium is robust to common risk factors related to size, value and momentum. The premium is different from that on aggregate liquidity risk documented in Pástor and Stambaugh (2003) as well as that based on tail risk of Kelly (2011). Extreme liquidity estimates can offer a warning sign of extreme liquidity events. Predictive regressions show that extreme liquidity measure reliably outperforms aggregate liquidity measures in predicting future market returns. Finally, I incorporate the extreme liquidity risk into Acharya and Pedersen's (2005) framework and find new supporting evidence for their liquidity-adjusted capital asset pricing model. The second essay is co-authored with Prof. Andrew Karolyi. We have developed a multi-factor returns-generating model for an international setting that captures how restrictions on investability or accessibility can matter. The model works reasonably well in a wide variety of settings. More specifically, using monthly returns for over 37,000 stocks from 46 developed and emerging market countries over a two-decade period, we propose and test a multi-factor model that includes factor portfolios based on firm characteristics and that builds separate factors comprised of globally-accessible stocks, which we call "global factors," and of locally-accessible stocks, which we call "local factors." Our new "hybrid" multi-factor model with both global and local factors not only captures strong common variation in global stock returns, but also achieves low pricing errors and rejection rates using conventional testing procedures for a variety of regional and global test asset portfolios formed on size, value, and momentum. In the third essay, I examine the implications of the Lo and Wang (2000, 2006) mutual fund separation model in the cross-sectional behavior of global trading activity. It demonstrates that return-based factors work poorly around the world. On average across countries, market-wide turnover captures 37% of all systematic turnover components in individual stock trading, and two additional Fama and French (1993) factor turnovers increase the explanatory power by 23%. Similarly Lo and Wang's (2000) turnovers only capture on average 64% of all systematic turnover components. Using this multi-factor asset pricing-trading framework, a horserace is further performed to explore other factors in return by examining the turnover behavior of different factor mimicking portfolios. All the return-based factors capture at most 67% of the common variation in trading, suggesting that stock pricing and trading volume may not be compatible around the world. In cross-country analysis, the explanatory power of the returnbased factor model varies substantially across countries and markets, with better performance for European developed markets and China. Surprisingly, in North America, Japan and most emerging markets there are larger amounts of commonality in trading, mostly higher than 47 %, for reasons other than return motive.
Author : Tae-Hoon Lim
Publisher :
ISBN 13 :
Total Pages : 183 pages
Book Rating : 4.:/5 (913 download)
Download or read book Three Essays on International Asset Pricing written by Tae-Hoon Lim and published by . This book was released on 2013 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies international linkages between stock returns and information trading in options. In Chapter 2, "How Important are Foreign Ownership Linkages for International Stock Returns?" joint work with Söhnke M. Bartram, John Griffin, and David Ng, we look develop a simple measure of international ownership linkages and show that this measure is of similar importance as the traditional effects coming from country and industry fundamentals. International ownership linkages are not explained by omitted country/industry variations, wealth effects or other explanations like liquidity, investment style, or fund flows. We find that ownership linkage is a summary measure of investment locale that links investor capital around the world. Beyond the level of foreign ownership, the specific ownership composition of a stock is an important facet of international equity returns - a finding which has important implications for diversification. In Chapter 3, "Trade Linkage and Cross-country Stock Return Predictability", I test whether cross-predictability exists among trade-linked industries across international borders, and explore possible explanations. I find strong evidence of cross-border stock return predictability among trade-linked industries. A trading strategy of buying industry portfolios whose trade-linked industry had high returns, and shorting industry portfolios whose trade-linked industry had low returns, yields an annualized return of 12%. I find some evidence against the leading explanation, which posits information segmentation as the only reason for cross-predictability, and find support for illiquidity as a new channel of explanation. In Chapter 4, "Information based Trading in Index Options and Futures", joint work with Seung Won Woo, we study intraday information based trading. The trade imbalances of index options with the largest leverage contain better information content on intraday KOSPI 200 return movements compared to that of options with smaller implicit leverage. We find that domestic brokerage proprietary traders are better informed on KOSPI 200 intraday returns among investor groups. However, we show that the futures trade imbalances of foreigners contain superior information content in predicting KOSPI 200 intraday return movements during the recent subprime mortgage crisis in 2008. This indicates that foreign traders may possess better information processing skills on news that originates from outside of Korea.
Author : Mats Hansson
Publisher :
ISBN 13 : 9789515554925
Total Pages : 15 pages
Book Rating : 4.5/5 (549 download)
Download or read book Tests of Conditional Asset Pricing Models on Finnish Stock Return Data Using Latent Variables written by Mats Hansson and published by . This book was released on 1996 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Man Li
Publisher :
ISBN 13 :
Total Pages : 382 pages
Book Rating : 4.:/5 (11 download)
Download or read book Essays in Asset Pricing written by Man Li and published by . This book was released on 2011 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis undertakes empirical and theoretical research in asset pricing in both US and Global financial markets, with a particular focus on the financial impact of socially responsible investment (SRI) and implementation of the ICAPM and CCAPM frameworks in the US market. We aim to provide a comprehensive analysis of the financial impact of SRI on the US and Global equity markets and to resolve issues relating to the CCAPM that remain in the asset pricing literature. Prior studies that examine the financial impact of SRI produce mixed findings. Therefore, we begin by reviewing the relevant international literature and stress the importance of selecting appropriate SRI proxies in asset pricing tests. We enrich the literature by identifying areas that need to be carefully considered in constructing an SRI proxy and this will shed new light on the question of what measure of SRI should be used. In the first empirical chapter, we examine the financial impact of SRI on global equity returns, assessing our SRI proxies in the context of standard asset pricing models. We find that SRI has no significant impact on the global equity market. However, since SRI has become an increasingly popular practice only recently, our results may be hampered by data constraints. This motivates the next stage of the analysis wherein we employ the ICAPM framework. In Chapter 3, we formulate a two-factor empirical model under the ICAPM framework and construct SRI proxies by using the economic tracking portfolio method of Lamont (2001) to further examine whether SRI has financial impacts on the US equity market. Our findings in Chapter 3 are consistent with those of Chapter 2. The combined import of our findings in both chapters suggests that investors are free to implement SRI mandates without fear of breaching their fiduciary duties from inferior performance due to incorporating an SRI process. This will encourage the adoption of socially responsible investment strategies in practice. In the final chapter, we examine the empirical validity of the CCAPM that assumes investor's utility is non-separable across states of nature. To our knowledge, it is the first to evaluate the cross-sectional implications of the recursive utility function of Epstein and Zin (1991) by using innovations in consumption growth. Based on these analyses, we conclude that a variable capturing innovations in consumption growth is significantly priced in asset returns.
Author : Jan Antell
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book International Asset Pricing Models and Currency Risk written by Jan Antell and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we investigate whether global, local and currency risks are priced in the Finnish stock market using conditional international asset pricing models. We take the view of a US investor. The estimation is conducted using a modified version of the multivariate GARCH framework of De Santis and Geacute;rard (1998). For a sample period from 1970 to 2004, we find the world risk to be time-varying. While local risk is not priced for the USA, the local component is significant and time-varying for Finland. Currency risk is priced in the Finnish market, but is not time-varying using the De Santis and Geacute;rard specification. This suggests that the linear specification for the currency risk may not be adequate for non-free floating currencies.
Author : Xiangdong Mao
Publisher :
ISBN 13 :
Total Pages : 260 pages
Book Rating : 4.E/5 ( download)
Download or read book Essays in Corporate Finance and International Asset Pricing written by Xiangdong Mao and published by . This book was released on 2000 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Niels Joachim Christfort Gormsen
Publisher :
ISBN 13 : 9788793579897
Total Pages : pages
Book Rating : 4.5/5 (798 download)
Download or read book Essays on Empirical Asset Pricing written by Niels Joachim Christfort Gormsen and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Latha Ramchand
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (298 download)
Download or read book Essays on International Asset Pricing written by Latha Ramchand and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mika Vaihekoski
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Global Market and Currency Risk in Finnish Stock Market written by Mika Vaihekoski and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using conditional international asset pricing models, this paper investigates whether global market and currency risks are priced in the Finnish stock market. We take the view of Finnish investors and study the pricing of the market portfolio and industry portfolios using monthly data from 1987 to 2000. The results give strong support for the pricing of the global market risk yet the local market risk is also priced suggesting mild segmentation. We find strong support for the pricing of currency risk. This suggest that Finnish investors should be concerned with the currency risk even when investing in domestic stocks.
Author : Xin Wang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Essays on Asset Pricing written by Xin Wang and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters that empirically investigate issues pertaining to asset pricing. In the first chapter, I find evidence of return predictability across intra-industry trading partners in international financial markets. Stock returns of importers significantly predict returns of corresponding exporters at the country-industry level. An investment strategy exploiting this effect generates average abnormal returns exceeding 6% annually. The magnitude of the effect is larger for smaller and less financially sophisticated countries, consistent with the return predictability being driven by frictions in the speed of information diffusion. However, this return cross-predictability cannot be explained by other country characteristics, including capital controls, exchange rate risk, and proxies for investor attention at the aggregate level. The second chapter analyzes the role of distance between foreign countries and the U.S. and foreign countries' talent in foreign mutual funds' performance in the U.S. I find that the correlation of distance and talent with returns is negative and positive, respectively. However, the effects are small and not statistically significant. For volatility, the effects are both economically and statistically significant: Distance is positively correlated with returns' standard deviation among mutual funds and with returns' standard deviation over time, while talent is negatively correlated with returns' standard deviation over time. The third chapter, co-authored with Jordi Mondria and Thomas Wu, decomposes attention allocation into two components, the familiar and the surprising, with opposite implications for US purchases of foreign stocks. On the one hand, familiarity-induced attention leads to an increase in US holdings of foreign equities. On the other hand, surprise-induced attention is associated with the net selling of foreign stocks because US investors tend to pay more attention to negative than to positive economic surprises from foreign countries. Our findings suggest that information asymmetries between locals and non-locals are more pronounced when it comes to good news, with information regarding bad news being relatively symmetric.
Author : Joon Woo Bae
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (133 download)
Download or read book THREE ESSAYS ON INTERNATIONAL ASSET PRICING. written by Joon Woo Bae and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The common thread running through my research is to explore the asset price dynamics across countries and across asset classes. In the first chapter of this thesis, I apply Newton's law of universal gravitation to investigate the determinants of the bilateral relationships in returns. Examining the gravity effect in a large set of countries, I find that the size of economies and geographical distance are significant determinants of the contemporaneous as well as the lead-lag correlation patterns observed in stock returns across countries. In addition, decomposing stock market returns into cash-flow and discount-rate news shows that the international transmission of country specific news is more pronounced through discount-rate news, and that the size of economies and geographical distance are significant determinants for both components of returns. In the second chapter, based on a joint work with Redouane Elkamhi and Mikhail Simutin, we propose a diversification approach that exploits the global connectedness of developed countries to gain exposure to emerging countries' overall economies rather than their shallow equity markets. In doing so, we demonstrate that developed markets still offer substantial diversification benefits beyond those available through equity indices, contrary to a large body of literature claiming that the benefits of international diversification via developed markets have dramatically declined. Our results also suggest that relying on equity indices to assess diversification benefits understates diversification gains. The third chapter explores the potential risk of investing in global markets. Specifically, my co-author Redouane Elkamhi and I study the two widely-known speculation strategies in the FX market, carry and momentum trades, and provide a risk-based explanation for the excess returns. We construct a common factor that drives correlation across international equity markets and show that the cross-sectional variations in the average excess returns across carry and momentum portfolios can be explained by different sensitivities to our correlation factor. By using a factor constructed from the equity market to explain abnormal return in the FX market, these findings shed light on the important linkage across the two markets through equity correlations as a main instrument of the aggregate risk.
