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Author : Liang Zhang
Publisher :
ISBN 13 :
Total Pages : 206 pages
Book Rating : 4.:/5 (663 download)
Download or read book Two Essays on Empirical Asset Pricing written by Liang Zhang and published by . This book was released on 2008 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Thomas Ruf
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Two Essays in Empirical Asset Pricing written by Thomas Ruf and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiaohong Zheng
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (176 download)
Download or read book Two Essays on Empirical Asset Pricing written by Xiaohong Zheng and published by . This book was released on 2007 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yangqiulu Luo
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Two Essays on Empirical Asset Pricing written by Yangqiulu Luo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 13 : 9783754155042
Total Pages : pages
Book Rating : 4.1/5 (55 download)
Download or read book Essays on Empirical Asset Pricing written by Steffen Windmüller and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Flavio Nardi
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)
Download or read book Two Essays in Empirical Asset Pricing written by Flavio Nardi and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on Empirical Asset Pricing written by Junyan Shen and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sungjun Cho
Publisher :
ISBN 13 : 9780549054023
Total Pages : 158 pages
Book Rating : 4.0/5 (54 download)
Download or read book Essays in Empirical Asset Pricing written by Sungjun Cho and published by . This book was released on 2007 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 13 :
Total Pages : 198 pages
Book Rating : 4.:/5 (458 download)
Download or read book Essays in Empirical Asset Pricing written by Lorne Dwight Johnson and published by . This book was released on 2000 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chishen Wei
Publisher :
ISBN 13 :
Total Pages : 170 pages
Book Rating : 4.:/5 (758 download)
Download or read book Essays on Empirical Asset Pricing written by Chishen Wei and published by . This book was released on 2011 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two essays that use empirical techniques to shed light on open questions in the asset pricing literature. In the first essay, I investigate whether foreign institutional investors affect stock liquidity in domestic equity markets. The evidence indicates that stocks with higher foreign institutional ownership subsequently experience higher liquidity. However, it is difficult to interpret the causal relation of this finding because institutional investors self-select into more liquid stocks. To solve this problem, I exploit a provision in the 2003 US dividend tax cut which extends tax-relief to dividends from US tax-treaty countries but not to dividends from non-treaty countries. This natural experiment suggests a causal link between foreign institutional investors and liquidity. Consistent with the predictions of theoretical models, I find that liquidity improves due to foreign institutional investors increasing information competition. In the second essay, I introduce a new measure of difference of opinion using mutual fund portfolio weights to test prominent competing theories of the effect of heterogeneous beliefs on asset prices. The over-valuation theory (Miller (1977)) proposes that in the presence of short-sale constraints stock prices reflects only the view of optimistic investors which implies lower subsequent returns. Alternatively, neo-classical asset pricing models (Williams (1977), Merton (1987)) suggest that differences of opinions indicate high levels of information uncertainty or risk which implies higher expected returns. My initial result finds no support for the over-valuation theory. Instead, the measure used in this study finds that high differences of opinion stocks weakly outperform low differences of opinion stocks by 2.42% annually which is more consistent with the information uncertainty explanation.
Author : Krista Schwarz
Publisher :
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.:/5 (73 download)
Download or read book Essays in Empirical Asset Pricing written by Krista Schwarz and published by . This book was released on 2010 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Weike Xu
Publisher :
ISBN 13 :
Total Pages : 93 pages
Book Rating : 4.:/5 (976 download)
Download or read book Essays in Empirical Asset Pricing written by Weike Xu and published by . This book was released on 2016 with total page 93 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two essays. The first essay examines how changes in ownership breadth affect the profitability of 21 anomaly-based strategies. I find that the profitability of these strategies is weaker following a growth in ownership breadth in the prior quarter. The return pattern is primarily attributed to the insignificant returns in the short portfolios. In addition, reduction in short-sale constraints due to increase in the ownership breadth can explain the insignificant return in the short portfolio. The conclusions stay the same after controlling for the common risk factors including the Fama-French three factors and the momentum factor. My results are robust to different size groups, different portfolio weighting methods, an alternative measure of active institutional investors and cross-sectional regression tests. These findings indicate that active institutional investors improve market efficiency. In the second essay, I examine how the relaxation of short-sale constraints affects the readability in financial disclosures using a natural experiment. From 2005 to 2007, the SEC implemented a pilot program in which one-third of the Russell 3000 stocks were randomly selected as pilot stocks and were exempted from short-sale price tests. I find that the readability of 10-K reports for the pilot stocks significantly decreases during the program period. Moreover, the relation between a reduction in short-sales constraint and annual report readability is not uniform in the cross-section. I find that the results are more pronounced for firms that are smaller, less profitable or riskier; for firms that have lower institutional ownership or analyst coverage; and for firms with worse corporate governance or corporate social responsibility. I conclude that Regulation SHO leads to lower readability in the context of financial disclosures.
Author : Y. Wu
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays on Empirical Asset Pricing written by Y. Wu and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Daniel Robert Smith
Publisher :
ISBN 13 :
Total Pages : 109 pages
Book Rating : 4.:/5 (852 download)
Download or read book Essays in Empirical Asset Pricing written by Daniel Robert Smith and published by . This book was released on 2003 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Haidong Cai
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (126 download)
Download or read book Essays in Empirical Asset Pricing written by Haidong Cai and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ziye Nie
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays in Empirical Asset Pricing written by Ziye Nie and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Usman Ali
Publisher :
ISBN 13 :
Total Pages : 216 pages
Book Rating : 4.:/5 (645 download)
Download or read book Essays in Empirical Asset Pricing written by Usman Ali and published by . This book was released on 2009 with total page 216 pages. Available in PDF, EPUB and Kindle. Book excerpt:
