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Author : Hengjie Ai
Publisher :
ISBN 13 :
Total Pages : 232 pages
Book Rating : 4.:/5 (319 download)
Download or read book Essays on Risk, Information and the Asset Market written by Hengjie Ai and published by . This book was released on 2006 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lobsang Tenzin Tshering
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (955 download)
Download or read book Essays on Consumption Risk in International Asset Markets written by Lobsang Tenzin Tshering and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Dana Kiku
Publisher :
ISBN 13 : 9780549068228
Total Pages : 142 pages
Book Rating : 4.0/5 (682 download)
Download or read book Essays on the Role of Long Run Risks in Asset Markets written by Dana Kiku and published by . This book was released on 2007 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third chapter analyzes the relative contribution of long- versus short-run risks in asset cash flows and returns to the overall risk premium. Using various identification schemes, I isolate permanent and transitory consumption shocks and show that the cost of long-run consumption uncertainty far exceeds that for transitory (business-cycle) fluctuations in consumption. This evidence reinforces findings in the recent asset pricing literature that long-run consumption risks are the dominant source of risk compensations in financial markets.
Author : Paolo Mauro
Publisher :
ISBN 13 :
Total Pages : 396 pages
Book Rating : 4.:/5 (325 download)
Download or read book Essays on Country Risk, Asset Markets and Growth written by Paolo Mauro and published by . This book was released on 1993 with total page 396 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William N. Goetzmann
Publisher : Oxford University Press
ISBN 13 : 0195148142
Total Pages : 568 pages
Book Rating : 4.1/5 (951 download)
Download or read book The Equity Risk Premium written by William N. Goetzmann and published by Oxford University Press. This book was released on 2006-11-16 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book aims to create a strong understanding of the empirical basis for the equity risk premium. Through the research and anaylsis of two scholars who are experts in this field, this volume presents the key issues that are paramount to investors, including whether or not to use historical data as a method of equity investing, and can the equity premium reflect changes in fundamental values and cash flows of the market.
Author : Bixi Jian
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays in Risk Modeling, Asset Pricing and Network Measurement in Finance written by Bixi Jian and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "Modelling financial interconnections and forecasting extreme losses are crucial for risk management in financial markets. This thesis studies multivariate risk spillovers at the high-dimensional market network level, as well as univariate extreme risk modelling at the asset level. The first chapter proposes a novel time series econometric method to measure high-dimensional directed and weighted market network structures. Direct and spillover effects at different horizons, between nodes and between groups, are measured in a unified framework. Using a similar network measurement framework, the second chapter investigates the relationship between stock illiquidity spillovers and the cross-section of expected returns. I find that central industries in illiquidity transmission networks earn higher average stock returns (around 4% per year) than other industries.The third chapter proposes a new Dynamic Stable GARCH model, which involves the use of stable distribution with time-dependent tail parameters to model and forecast tail risks in an extremely high volatility environment. We can differentiate extreme risks from normal market fluctuations with this model." --
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 : Xiaofei Zhao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Two Essays on Asset Pricing written by Xiaofei Zhao and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gang Li
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.:/5 (34 download)
Download or read book Three Essays on Information and Asset Prices written by Gang Li and published by . This book was released on 2003 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katerina Straznicka
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (948 download)
Download or read book Laboratory Investigation of Asset Market Efficiency written by Katerina Straznicka and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contains three essays that focus on asset market inefficiency using the experimental method. Financial market efficiency is crucial for good performance of the economy as a whole. Research in behavioral finance has shown that investors do not always behave fully rationally and systematically violate the assumptions of the traditional framework. It is therefore important to fully understand how individuals create their expectations regarding financial decisions, what influences them, how they affect the global market, and therefore financial market efficiency.Individual expectations about a financial decision are influenced by the manner assets are determined. The first essay investigates the impact of skewness of traded assets on first, aggregate market development, second, the way individuals perceive risky assets according to their risk preferences, and third, the stability of the assets' risk perception in time. Our results suggest that assets' skewness influences only marginally the asset market development, but directly effects the individual risk perception.Agents interacting in financial markets are not fully rational. Their decisions are influenced by their preferences, personality traits and the degree they are prone to behavioral biases. We suppose that the personal profile influences individual market behavior, such as trading activity, stock accumulation and performance, and also the aggregate market development, such as price dynamic or turnover of traded assets. This is the objective of the second essay. We find that the personality traits are the best predictors of both individual and aggregate market behavior.The third essay examines whether competitive incentives do contribute to the increase of mispricing in financial markets. If they do, does the extended time horizon of performance comparison help to improve the control against excessive risk-taking and therefore improve financial market efficiency. We find that the bonuses with extended time horizon help to diminish mispricing and improve the financial market efficiency.
Author : Jingjing Chen
Publisher :
ISBN 13 :
Total Pages : 121 pages
Book Rating : 4.5/5 (381 download)
Download or read book Information Transmission and Investor Reactions written by Jingjing Chen and published by . This book was released on 2021 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays that study the effects of information transmission on asset pricing under dynamic settings. My first essay studies the pricing of earnings announcement risk. Earnings announcements present a clear risk to investors and, under rational asset pricing theory, such risk should be consistently priced in stocks. However, I find that stocks with high earnings announcement risk earn significantly higher returns only during months when firms have earnings or M&A announcements. Moreover, the higher returns are realized mostly around the date of announcements. The findings seem to suggest that the risk premium is accrued concurrently when investors adjust stock valuation in response to significant information events. I provide additional evidence to substantiate the conjecture based on the effects of information updates and investor information consumption.My second essay investigates market excess returns around scheduled macroeconomic news announcements. Prior literature documents significantly positive market excess returns implied from CAPM (i.e., the coefficient of market beta) and significantly positive realized market excess returns on scheduled macroeconomic announcement days. In this study, I find that market excess return swings from negative on the day before, to positive on the day of, and negative again on the day after announcements. The average market excess returns, both implied and realized, over the three-day announcement window are insignificant. I show that market excess returns around macroeconomic announcements are primarily driven by a mood swing, i.e., changes of investor appetite toward risk. Specifically, investors become highly risk-averse prior to announcement but are much less so on the announcement day. I also show that uncertainty resolution at best partially accounts for the swing of market excess returns.
Author : Stefano Athanasoulis
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (223 download)
Download or read book Essays in the Analysis of Assets Markets, Derivatives Design, International Risk Sharing and Macroeconomic Policy written by Stefano Athanasoulis and published by . This book was released on 1995 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Reinhard Fellmann
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (134 download)
Download or read book Essays in Tail Risk and Asset Pricing in Credit Markets written by Reinhard Fellmann and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul Marmora
Publisher :
ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (128 download)
Download or read book Essays on Information Acquisition and Asset Pricing written by Paul Marmora and published by . This book was released on 2015 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I explore different mechanisms by which information is generated in financial markets, and whether these mechanisms can account for empirical anomalies that models without information choice have difficulty explaining. In the first chapter, I survey the theoretical literature on perfectly competitive asset markets, with a particular focus on rational expectations models with endogenous information acquisition. In the second chapter, ``The Distribution of Information, the Market for Financial News, and the Cost of Capital", I present a rational expectations model with a competitive market for financial news that provides an explanation for why stocks with a higher degree of information asymmetry tend to earn higher expected returns. I demonstrate that when a small fraction of investors hold a large fraction of a firm's private information, few investors demand a copy of firm-specific news in equilibrium. As a result, each investor must incur a larger share of the fixed cost of news production to obtain a copy, which deters investors from learning more about the firm and therefore raises their required risk premium. This result hinges crucially on the ability of investors to share in the fixed cost of news production, which suggests that the financial news media plays an important role in determining how the cost of capital varies with the inequality of information across investors. In the third chapter, ``Learning About Noise" (with Oleg Rytchkov), we study theoretical implications of endogenous acquisition of non-fundamental information in financial markets. We develop a rational expectations model with heterogeneous information and multidimensional costly learning and demonstrate that i) investors specialize in information acquisition, that is, those who are endowed with high (low) quality information about fundamentals learn only about fundamentals (noise), ii) learning about fundamentals increases the asymmetry of information, whereas learning about noise decreases it, and iii) the opportunity to learn about noise unambiguously increases price informativeness.
Author : Chu-Sheng Tai
Publisher :
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.:/5 (432 download)
Download or read book Three Essays on International Asset Pricing written by Chu-Sheng Tai and published by . This book was released on 1999 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Two dimensions that complicate finance in an international setting are market segmentation and foreign exchange risk. With the increasing globalization of financial markets, these two effects require that many issues such as investment analysis, risk management, asset pricing and capital budgeting confronting financial professionals have to rethink in an international context. My dissertation consists of three essays that intend to address the following questions: "Can time-varying risk premia explain the deviations from Uncovered Interest Parity (UIP)?", "Is foreign exchange risk priced in international financial markets?", and "Are emerging financial markets integrated with world markets?"
Author : Hyun Jin Lee
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (34 download)
Download or read book Essays on Asset Securitization, Bank Production Costs, and the Credit Card Market written by Hyun Jin Lee and published by . This book was released on 2003 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chee Tong Lee
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (685 download)
Download or read book Essays on Market Efficiency and Asset Pricing written by Chee Tong Lee and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
