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Author : Xiaoyu Zong
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Three Essays on Asset Pricing Studies written by Xiaoyu Zong and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yongli Zhang
Publisher : ProQuest
ISBN 13 : 9780549269489
Total Pages : 198 pages
Book Rating : 4.2/5 (694 download)
Download or read book Three Essays on Asset Pricing written by Yongli Zhang and published by ProQuest. This book was released on 2007 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Author : Emmanuel Leclercq
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (893 download)
Download or read book Three Essays on Asset Pricing written by Emmanuel Leclercq and published by . This book was released on 2014 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Birgit Charlotte Müller
Publisher : Springer Gabler
ISBN 13 : 9783658354787
Total Pages : 147 pages
Book Rating : 4.3/5 (547 download)
Download or read book Three Essays on Empirical Asset Pricing in International Equity Markets written by Birgit Charlotte Müller and published by Springer Gabler. This book was released on 2021-08-20 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Selale Tuzel
Publisher :
ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (669 download)
Download or read book Three Essays in Asset Pricing written by Selale Tuzel and published by . This book was released on 2005 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sunil Kenath Panikkath
Publisher :
ISBN 13 :
Total Pages : 176 pages
Book Rating : 4.:/5 (313 download)
Download or read book Three Essays on Asset Pricing written by Sunil Kenath Panikkath and published by . This book was released on 1994 with total page 176 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 : Zhi Da
Publisher :
ISBN 13 :
Total Pages : 236 pages
Book Rating : 4.:/5 (836 download)
Download or read book Three Essays on Asset Pricing written by Zhi Da and published by . This book was released on 2006 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anya Khanthavit
Publisher :
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (819 download)
Download or read book Three Essays on Asset Pricing written by Anya Khanthavit and published by . This book was released on 1992 with total page 240 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 : Chen Cao
Publisher :
ISBN 13 :
Total Pages : 137 pages
Book Rating : 4.:/5 (868 download)
Download or read book Three Essays on Asset Allocation and Asset Pricing written by Chen Cao and published by . This book was released on 2013 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Philipp A. Dirkx
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (128 download)
Download or read book Three Essays on Asset Pricing and Factor Investing written by Philipp A. Dirkx and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mahmoud Botshekan
Publisher :
ISBN 13 : 9789036103312
Total Pages : 142 pages
Book Rating : 4.1/5 (33 download)
Download or read book Three Essays in Asset Pricing and Portfolio Choice written by Mahmoud Botshekan and published by . This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alan Picard
Publisher :
ISBN 13 :
Total Pages : 165 pages
Book Rating : 4.:/5 (111 download)
Download or read book Three Essays in Asset Pricing written by Alan Picard and published by . This book was released on 2015 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract This dissertation consists of three essays. My first paper re-examines the link between idiosyncratic risk and expected returns for a large sample of firms in both developed and emerging markets. Recent studies using Fama-French three factor models have shown a negative relationship between idiosyncratic volatility and expected returns for developed markets. This relationship has not been studied to date for emerging markets. This study relates the current-month’s idiosyncratic volatility to the subsequent month’s returns for a sample of both developed and emerging markets expanding benchmark factors by including both a momentum and a systematic liquidity risk component. My second essay contributes to the important literature on the topic of the small capitalization stocks historical outperformance over large capitalization stocks by investigating the hypothesis that the small firm premium is related to macroeconomic and financial variables and that relationship is driven by the economic cycle in the United States and Canada. More specifically, this study employs recent advances in nonlinear time series models to explore the relationship between the small firm premium, and financial and macroeconomic variables in the Canadian and U.S. economies. My third paper re-examines the findings of a recent research paper that suggested that market wide liquidity may act as a leading indicator to the economic cycle. Using several liquidity measures and various macroeconomic variables to proxy for the economic conditions, the paper presents evidence that stock market liquidity could forecast business cycles: A major decrease in the overall level of market liquidity could indicate weak economic growth in the subsequent months. However, the drawback in the analysis is that the relationship is investigated in a linear approach even though it has been proven that most macroeconomic variables follow non-linear dynamics. Employing similar liquidity measures and macroeconomic proxies, and two popular econometrics models that account for non-linear behavior, this study hence re-investigates the relationship between stock market liquidity and business cycles.
Author : Yoon Kang Lee
Publisher :
ISBN 13 :
Total Pages : 157 pages
Book Rating : 4.:/5 (18 download)
Download or read book Three Essays in Asset Pricing written by Yoon Kang Lee and published by . This book was released on 2018 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.
Author : David Tat-Chee Ng
Publisher :
ISBN 13 :
Total Pages : 314 pages
Book Rating : 4.:/5 (464 download)
Download or read book Three Essays on International Asset Pricing written by David Tat-Chee Ng and published by . This book was released on 2000 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jaeho Cho
Publisher :
ISBN 13 :
Total Pages : 228 pages
Book Rating : 4.:/5 (224 download)
Download or read book Three Essays on Asset Pricing Theory written by Jaeho Cho and published by . This book was released on 1989 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt:
