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Author : Xiongwei Ju
Publisher :
ISBN 13 :
Total Pages : 340 pages
Book Rating : 4.:/5 (845 download)
Download or read book Three Essays on Modeling Financial Risk and Pricing Financial Assets written by Xiongwei Ju and published by . This book was released on 1999 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Huijing Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
Download or read book Three Essays on Asset Pricing and Behavioral Finance written by Huijing Li and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays. In the first essay, we develop a model to study the role of CSR costs in the cross-section of stock returns. Our CAPM-based model predicts CSR factors are priced in the cross-section of stock returns. We then empirically test the implication of our pricing model by using data from MSCI ESG. The univariate analysis reveals that the quantile portfolio with the lowest CSR (social or environmental) cost beta significantly outperforms the highest CSR cost beta portfolio. In addition, we find negative and significant risk premiums on both the environmental and social risk factor. The second essay reports the results of three experimental studies that investigate the impact of moral identity (MI) on individuals' financial decision-making. Study 1 suggests that individuals' MI is negatively related to the willingness to invest (WTI) in an immoral portfolio. Study 2 shows that individuals with a low MI have a higher WTI for an immoral portfolio only when they are incentivized by a higher financial return. Study 3 reveals that when immoral stocks provide a higher return incentive, individuals with low MI do have a higher WTI, but only when they perceive themselves to be distant from the immoral company. When individuals perceive themselves to be physically close to an immoral company, they are less sensitive to the return incentive and their WTI is lower. In the third essay, we study human capital from the perspective of ex ante health perception. We obtain search volume data of medical symptoms from Google Trends and follow the methodology of Da, Engelberg, and Gao, (2015). We propose that increased (decreased) search volume of medical symptoms implies an ex ante decline (increase) in the value of health oriented human capital. We then use the inverse of our health concern index to proxy the health dimension of human capital (denoted as HHC). We estimate stock exposure (beta) to the HHC, and a univariate analysis reveals the highest HHC beta portfolio significantly outperforms the lowest HHC beta portfolio. Also, our results suggest that the HHC is positively priced in the cross-section of stock returns.
Author : Tae-Jin Kang
Publisher :
ISBN 13 :
Total Pages : 174 pages
Book Rating : 4.:/5 (89 download)
Download or read book Three Essays on Asset Pricing Model with Heterogenous Agents written by Tae-Jin Kang and published by . This book was released on 1991 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alessio Alberto Saretto
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays in Empirical Asset Pricing written by Alessio Alberto Saretto and published by . This book was released on 2006 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wenqing Wang
Publisher :
ISBN 13 :
Total Pages : 342 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on Empirical Asset Pricing written by Wenqing Wang and published by . This book was released on 2004 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Zhijiang Huang
Publisher :
ISBN 13 :
Total Pages : 127 pages
Book Rating : 4.:/5 (254 download)
Download or read book Three Essays on Asset Pricing and Risk Management written by Zhijiang Huang and published by . This book was released on 2007 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three topics are studied. Firstly, we consider a general modeling framework by assigning arbitrage-free dynamics to an admissible set of forward swap rates. Connection with graph theory allows us to graphically characterize the admissible set and determine the number of distinct admissible models. Three specifications of pratical interests, namely co-terminal, co-initial and co-sliding swap market models, are identified. In particular, ctSMM enjoys the same degreee of tractability as LMM, and we propose a fast and robuste calibration scheme for it. Secondly, we derive analytical approximations by solving the PDE mapping between implied volatility and local volatility using two methods, namely local expansion and global iteration methods. Numerical studies show that these approximations are indeed quite accurate and the best among the existing ones. Lastly, we develop an accurate and efficient scheme to compute the tail probability or VaR of a collateralized loan portfolio owned by a bank.
Author : Zhaowei Wang
Publisher :
ISBN 13 :
Total Pages : 210 pages
Book Rating : 4.:/5 (128 download)
Download or read book Three Essays on Financial Economics and Risk Managment written by Zhaowei Wang and published by . This book was released on 2014 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation mainly focuses on asset pricing and risk management in financial markets"--Abstract.
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 : David Henry Bowman
Publisher :
ISBN 13 :
Total Pages : 230 pages
Book Rating : 4.:/5 (33 download)
Download or read book Three Essays in Macroeconomics and Finance written by David Henry Bowman and published by . This book was released on 1993 with total page 230 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 : Min Hwang
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 (34 download)
Download or read book Three Essays on Financial Markets written by Min Hwang and published by . This book was released on 2001 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shi Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (135 download)
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.
Download or read book Three Essays on Improving Financial Risk Estimation, Forecasting and Backtesting written by and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiaolong Liu
Publisher : Rozenberg Publishers
ISBN 13 : 9036101999
Total Pages : 132 pages
Book Rating : 4.0/5 (361 download)
Download or read book Three essays on real estate finance written by Xiaolong Liu and published by Rozenberg Publishers. This book was released on 2010 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Byong-Ju Lee
Publisher : Stanford University
ISBN 13 :
Total Pages : 132 pages
Book Rating : 4.F/5 ( download)
Download or read book Three Essays in International Finance written by Byong-Ju Lee and published by Stanford University. This book was released on 2011 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Author : Serge Luther Nyawa Womo
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (17 download)
Download or read book Three Essays on Financial Risks Using High Frequency Data written by Serge Luther Nyawa Womo and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis is about financial risks and high frequency data, with a particular focus on financial systemic risk, the risk of high dimensional portfolios and market microstructure noise. It is organized on three chapters. The first chapter provides a continuous time reduced-form model for the propagation of negative idiosyncratic shocks within a financial system. Using common factors and mutually exciting jumps both in price and volatility, we distinguish between sources of systemic failure such as macro risk drivers, connectedness and contagion. The estimation procedure relies on the GMM approach and takes advantage of high frequency data. We use models' parameters to define weighted, directed networks for shock transmission, and we provide new measures for the financial system fragility. We construct paths for the propagation of shocks, firstly within a number of key US banks and insurance companies, and secondly within the nine largest S&P sectors during the period 2000-2014. We find that beyond common factors, systemic dependency has two related but distinct channels: price and volatility jumps. In the second chapter, we develop a new factor-based estimator of the realized covolatility matrix, applicable in situations when the number of assets is large and the high-frequency data are contaminated with microstructure noises. Our estimator relies on the assumption of a factor structure for the noise component, separate from the latent systematic risk factors that characterize the cross-sectional variation in the frictionless returns. The new estimator provides theoretically more efficient and finite-sample more accurate estimates of large-scale integrated covolatility, correlation, and inverse covolatility matrices than other recently developed realized estimation procedures. These theoretical and simulation-based findings are further corroborated by an empirical application related to portfolio allocation and risk minimization involving several hundred individual stocks. The last chapter presents a factor-based methodology to estimate microstructure noise characteristics and frictionless prices under a high dimensional setup. We rely on factor assumptions both in latent returns and microstructure noise. The methodology is able to estimate rotations of common factors, loading coefficients and volatilities in microstructure noise for a huge number of stocks. Using stocks included in the S&P500 during the period spanning January 2007 to December 2011, we estimate microstructure noise common factors and compare them to some market-wide liquidity measures computed from real financial variables. We obtain that: the first factor is correlated to the average spread and the average number of shares outstanding; the second and third factors are related to the spread; the fourth and fifth factors are significantly linked to the closing log-price. In addition, volatilities of microstructure noise factors are widely explained by the average spread, the average volume, the average number of trades and the average trade size.
Author : Tse-Chun Lin
Publisher : Rozenberg Publishers
ISBN 13 : 9036101514
Total Pages : 146 pages
Book Rating : 4.0/5 (361 download)
Download or read book Three essays on empirical finance written by Tse-Chun Lin and published by Rozenberg Publishers. This book was released on 2009 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt:
