Three Essays in International Asset Pricing

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ISBN 13 :
Total Pages : 828 pages
Book Rating : 4.:/5 (427 download)

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Book Synopsis Three Essays in International Asset Pricing by : Prasad Padmanabhan

Download or read book Three Essays in International Asset Pricing written by Prasad Padmanabhan and published by . This book was released on 1988 with total page 828 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation consists of three essays in international asset pricing. The first essay develops a model where investors face barriers to foreign portfolio investment. Using the standard mean-variance framework, risk return relationships for all securities are developed. It is also shown that: (1) previous models adopting this approach are special cases of this model, and (2) all investors generally prefer complete removal of barriers over other market structures. Essay #2 empirically explores the issue of the degree of segmentation of the international capital market for risky securities. Using the 'emerging market' (EM) data base, it is shown that the international capital market is neither completely segmented nor completely integrated. Finally, the third essay investigates the relationship between stock returns and inflation for the EM securities. It is shown that stock returns are positively (negatively) related to inflation, for the group of high (low) inflation countries in the sample." --

Three Essays on International Asset Pricing

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ISBN 13 :
Total Pages : 314 pages
Book Rating : 4.:/5 (464 download)

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Book Synopsis Three Essays on International Asset Pricing by : David Tat-Chee Ng

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:

Three Essays on International Asset Pricing

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ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.:/5 (432 download)

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Book Synopsis Three Essays on International Asset Pricing by : Chu-Sheng Tai

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?"

Three Essays on Empirical Asset Pricing in International Equity Markets

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Publisher : Springer Gabler
ISBN 13 : 9783658354787
Total Pages : 147 pages
Book Rating : 4.3/5 (547 download)

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Book Synopsis Three Essays on Empirical Asset Pricing in International Equity Markets by : Birgit Charlotte Müller

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.

THREE ESSAYS ON INTERNATIONAL ASSET PRICING.

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Total Pages : pages
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Book Synopsis THREE ESSAYS ON INTERNATIONAL ASSET PRICING. by : Joon Woo Bae

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.

Three Essays in Asset Pricing

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ISBN 13 :
Total Pages : 286 pages
Book Rating : 4.:/5 (669 download)

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Book Synopsis Three Essays in Asset Pricing by : Selale Tuzel

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:

Three Essays on Asset Pricing

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ISBN 13 :
Total Pages : 88 pages
Book Rating : 4.:/5 (845 download)

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Book Synopsis Three Essays on Asset Pricing by : Sunil Kenath Panikkath

Download or read book Three Essays on Asset Pricing written by Sunil Kenath Panikkath and published by . This book was released on 2001 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Asset Pricing

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ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)

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Book Synopsis Three Essays on Asset Pricing by : Shi Li

Download or read book Three Essays on Asset Pricing written by Shi Li and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays on asset pricing. The first essay examines the return information conveyed by a firm's dividend deviation, defined as the difference between a firm's actual dividend per share (DPS) and its target DPS. We find that underpaying stocks (i.e., stocks in the lowest dividend deviation quintile) provide 5.4% more annualized risk-adjusted return compared to overpaying stocks (i.e., stocks in the highest dividend deviation quintile). A dividend deviation factor carries a risk premium of 5.64% per annum and is a proxy for systematic risk that is not captured by existing factor models. Potential explanations include financial constraints and overinvestments. Compared with overpaying firms, underpaying firms are more financially constrained and thus generate higher returns. After large investments, underpaying firms significantly underperform compared to their peers while overpaying firms remain statistically indifferent from their peers. In the second essay, we examine the relationship between firms' individual disagreement and the aggregate disagreement. We find a commonality in firms' individual disagreements exists at the market level, industry level, and geographic level. This commonality increases with firm's asymmetric information, uncertainty, and the degree of coverage, but decreases with firm's accounting information quality. We find a positive relation between the commonality in disagreement and stock returns. A higher disagreement commonality may indicate lower usefulness of firm-specific information that strengthens the synchronicity between firm's stock return and market return. In the third essay, we examine the effect of macro disagreement on stock returns in an international context. All G7 countries except Italy show a significant local disagreement beta effect, which is robust with respect to both size and value effects. Moreover, the macro disagreement on the U.S. economy shows a strong spillover effect on all non-U.S. G7 countries. The degree of a country's spillover effect is largely and positively in line with the magnitude of its trading activities with the U.S. Our paper demonstrates the pervasiveness of a disagreement beta effect, suggesting that investors bet against each other on macro disagreement not only in the U.S., but also in other major G7 countries.

Three Essays on Asset Pricing

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ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (893 download)

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Book Synopsis Three Essays on Asset Pricing by : Emmanuel Leclercq

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:

Three Essays on Asset Pricing

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (932 download)

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Book Synopsis Three Essays on Asset Pricing by :

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:

Three Essays on Empirical Asset Pricing

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Total Pages : pages
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Book Synopsis Three Essays on Empirical Asset Pricing by : Amir Akbari

Download or read book Three Essays on Empirical Asset Pricing written by Amir Akbari and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis explores the role of borrowing frictions, exchange rate risk, and intertemporal demand in stock prices across international financial markets. Specifically, I study how global asset prices are governed, considering the constraints and incentives that investors face when making investment decisions. The first essay adds a new dimension to the research on the dynamics of global market integration, providing an explanation for reversals in market integration via funding illiquidity. I show that when funding capital dries out, investors, unable to borrow and trade freely, fail to facilitate the integration process. Therefore, international asset prices during these periods are explained more by country-specific asset pricing factors than by global asset pricing factors. The second essay explores the role of exchange rate risk and intertemporal demand in international markets. These sources of risk are linked via the interest rate channel and are both likely proxies of the state variables that affect asset prices over time. We carefully disentangle the two risk factors and study the international equity market indices with multiple risk factors in a large cross-section through time. We show that the evidence of global pricing of risk crucially hinges on pooling assets with substantial cross-sectional variation. The third essay introduces a methodological innovation to study the dynamics of the compensation for the intertemporal risk in business cycles. Specifically, we contribute to the empirical asset pricing literature by studying the relative importance of prices of intertemporal risk during recessions, recoveries, and expansions." --

Three Essays on Asset Pricing

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ISBN 13 :
Total Pages : 236 pages
Book Rating : 4.:/5 (836 download)

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Book Synopsis Three Essays on Asset Pricing by : Zhi Da

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:

Three Essays on International Asset Pricing

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ISBN 13 :
Total Pages : 183 pages
Book Rating : 4.:/5 (913 download)

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Book Synopsis Three Essays on International Asset Pricing by : Tae-Hoon Lim

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.

Three Essays in Asset Pricing

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ISBN 13 :
Total Pages : pages
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Book Synopsis Three Essays in Asset Pricing by : Dominic Burkhardt

Download or read book Three Essays in Asset Pricing written by Dominic Burkhardt and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Asset Pricing

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ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.:/5 (819 download)

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Book Synopsis Three Essays on Asset Pricing by : Anya Khanthavit

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:

Three Essays in Asset Pricing Theory

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ISBN 13 :
Total Pages : 184 pages
Book Rating : 4.:/5 (851 download)

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Book Synopsis Three Essays in Asset Pricing Theory by : Lionel Martellini

Download or read book Three Essays in Asset Pricing Theory written by Lionel Martellini and published by . This book was released on 2002 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Three Essays on Intertemporal Asset Pricing

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (114 download)

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Book Synopsis Three Essays on Intertemporal Asset Pricing by : Patrizia Julia Perras

Download or read book Three Essays on Intertemporal Asset Pricing written by Patrizia Julia Perras and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: