Download or read book Essays on Asset Pricing Portfolio Choice and International Finance written by Maxime Sauzet and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates a number of topics in international finance and macroeconomics, with a particular emphasis on using and adapting tools from asset pricing to this context. Chapter 1, co-authored with Pierre-Olivier Gourinchas and Helene Rey, starts by providing an overview of the structure of the international monetary and financial system. Chapter 2 zooms in on a specific and long-standing open issue that has received a lot of attention in the international finance literature: the international portfolio choice problem, which is concerned with how investors allocate their portfolio internationally. Despite this attention, the literature has only provided limited answers to this problem in terms of resolution methods and the generality of preferences, an issue that I aim to alleviate in this Chapter. Because of its generality, the framework of Chapter 2 lends itself to several applications and extensions. Chapter 3 focuses on one main application, in which I show that the model can reproduce a number of stylized facts about the structure and dynamics of the international financial system, and in particular the role of the United States, and of asset returns in this context. Finally, Chapter 4, co-authored with Pierre-Olivier Gourinchas and Helene Rey, focuses on the secular decline in global real interest rates, another key theme in international finance and macroeconomics. We suggest that the world real rate of interest is likely to remain low or negative for an extended period of time, and discuss a number of possible explanations, an important one being the process of deleveraging of the balance sheets of investors.

Download or read book Essays in Asset Pricing and International Finance written by Mary Tian and published by . This book was released on 2011 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters in asset pricing and international finance. In Chapter 1, I examine the effect of tradability, the proportion of a firm's output that is exported, on its stock returns. The empirical patterns are consistent with the adjustment of the relative price of tradable to non-tradable goods, due to endowment shocks. I find firms that produce tradable goods have asset returns and earnings that are twice as cyclical as firms that produce non-tradable goods. A tradable minus nontradable portfolio of stock returns can predict changes in real exchange rates and the relative quantity of exports. A two-country endowment economy model formalizing the relative price mechanism is able to match the empirical facts. In Chapter 2, joint with Leonid Kogan and Roberto Rigobon, we take an openeconomy perspective on consumption growth predictability. We find that the combination of the U.S. and the world real interest rates predicts U.S. consumption growth. Predictability is highly significant, both statistically and economically, and is strongest at horizons of two to three years. The growth rate of consumption of services is more predictable than the growth rate of consumption of nondurable goods. We interpret this evidence using a two-country equilibrium exchange economy model and conclude that the predictive relation between interest rates and consumption growth is likely generated by output shocks in the non-tradable good sector. In Chapter 3, joint with Leonid Kogan, we examine the effects of data snooping on the performance of linear factor models at explaining asset pricing anomalies. We gather 22 anomalies established in the literature and create three-factor models from sorting firms into portfolios with respect to these anomalies. From 1950-2007, half of the factor models we construct can explain 31% or more of anomalies. In comparison, the CAPM and Fama French models rank in the 20th and 40th percentile of models respectively. Factors constructed from sorting by external financing characteristics (net stock issues and composite issuance) are able to explain a large proportion of anomalies. None of the models are able to explain momentum.

Download or read book Essays on International Finance and Asset Pricing written by 刘思宁 and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in International Finance and Asset Pricing written by Niall McGeever and published by . This book was released on 2017 with total page 165 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Empirical Asset Pricing and International Finance written by Zilong Niu and published by . This book was released on 2020 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Finance and Asset Pricing written by Esther Eiling and published by . This book was released on 2007 with total page 230 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Finance and Empirical Asset Pricing written by Matjaz Maletic and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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.

Download or read book International Finance and Financial Crises written by Peter Isard and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Finance and Financial Crises: Essays in Honor of Robert P. Flood, Jr. contains the proceedings of a conference held in honor of Robert P. Flood, Jr. Bob Flood has made important contributions to many areas of economic analysis, including regime switching, speculative attacks, bubbles, stock market volatility, macro models with nominal rigidities, dual exchange rates, target zones, and rules versus discretion in monetary policy. Contributors were invited to address any of the topics or others of their choosing. The results include five papers on topics in international finance; two of these papers, as well as the panel discussion, focus on speculative attacks and financial crises. The other three take new directions in exploring topics in which existing models leave much to be desired.

Download or read book Essays on International Finance and Asset Pricing written by Thomas Yang Powers and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: My first essay investigates the relationship between risk and return for investment projects within the firm. I focus on the film industry and find that more volatile movies have higher rates of return, even though this risk is entirely idiosyncratic. My second essay explains the high rates of return on commodity currencies in terms of the procyclicality of commodity prices. Commodity prices are procyclical because commodities are inputs, and thus demand for them is driven by the global business cycle. I also use labor market data to show that increases in labor costs during commodity booms contribute to the higher real exchange rates observed in commodity exporting countries. My final essay, co-authored with Jeffrey Frankel, studies optimal monetary policy in commodity-exporting economies facing a terms-of-trade shock. We build on the previous literature by introducing borrowing constraints, and find that currency depreciation during such a shock leads to higher welfare than either a fixed exchange rate or inflation targeting.

Download or read book Essays on International Asset Pricing Cultural Finance and the Price Effect written by Ulrich Johannes Hammerich and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is not only a pioneer work in the new finance sphere cultural finance, but also a feat of fundamental research in international empirical asset pricing. I present significant evidence that the most basic stock characteristic, the nominal price, is consequential for stock returns (and associated with higher statistical moments) in a comprehensive cross-country dataset comprising 41 countries and a culture-dependent capital market anomaly (as it was already shown e.g. for the momentum effect). For the case of Germany, I additionally provide an in-depth analysis of the price effect (i.e. a high/low price of an asset goes hand in hand with high/low subsequent returns) as this country offers a unique possibility to investigate the evolution and trigger of this genuinely price-based capital market anomaly due to a rapid and dramatic countrywide dispersion of stock prices in the aftermath of law amendments. Furthermore, I find the explanatory power of risk factor mimicking hedge portfolios (especially RMRF, HML, and WML, i.e. the beta, value, and momentum factors), which are consistently implemented in empirical asset pricing models (like the FF 3-, 5-, and 6-factor models and the Carhart 4-factor model), as well as their effectiveness as investment styles to vary across cultures. That is, the spectrum of this dissertation strikes both implications of the weak EMH that time series data (like the price) should have no informational value for future returns and assumptions of theoretical asset pricing models that (only) systematic risk (CAPM), future investment opportunities (ICAPM) or consumption risk (CCAPM) drives asset returns (universally). Finally, yet importantly, I find evidence that even cultural characteristics in itself (measured via the cultural dimensions of Hofstede and others) have explanatory and predictive power for global, cross-sectional stock returns as well as characteristics-based (hedge) portfolio returns. By virtue of these contributions to pertinent financial research, this dissertation is an empirical primer for possible future fields of research culture-based/culture-neutral asset pricing, asset management, and asset allocation.

Download or read book Essays on International Portfolio Choice and Asset Pricing Under Financial Contagion written by Zhenzhen Fan and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The 2008 financial crisis has witnessed prices of assets traded on different exchange markets, of various asset classes, from different geographical locations plunge simultaneously or in close succession, causing serious problems for banks, insurance companies, and other financial institutions. It calls for models that account for the unconventional dependence structure of asset prices beyond the classical paradigm. The class of mutually exciting jump-diffusion processes is a promising workhorse for modeling financial contagion in continuous-time finance. The class provides a parsimonious model of jump propagation, allowing for cross-sectional asymmetry and serial dependence through time: a jump that takes place in one asset market today leads to a higher probability of experiencing future jumps in the same market as well as in other markets around the world. This thesis tries to reconsider some of the classical problems in finance, most noticeably asset pricing, portfolio choice, hedging, and valuation, in the presence of contagion. We show that many investment and risk management implications and market efficiency conditions derived from classical models are no longer valid in the context of financial contagion."--Samenvatting auteur.

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.

Download or read book Selected Essays in Empirical Asset Pricing written by Christian Funke and published by Springer Science & Business Media. This book was released on 2008-09-15 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt: Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.

Download or read book Essays in Corporate Finance and International Asset Pricing written by Xiangdong Mao and published by . This book was released on 2000 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing written by Bosung Jang and published by . This book was released on 2017 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies how asset prices are related to various macroeconomic and financial factors. In the first chapter, I examine the influence of external financing costs on growth and asset prices. Using U.S. high-tech firm data and the aggregate financing cost measure of Eisfeldt and Muir (2016), I find that an increase in financing cost can have negative effects on R&D by reducing equity finance. This result suggests that financing cost can have substantial impacts on long-run productivity through the R&D channel. Motivated by this idea, I construct a general equilibrium model where financing costs affect innovation activities and future productivity. My model endogenously generates long-run risk and matches key features of macroeconomic and asset price data. The model produces a sizable equity premium, doing a good job of matching macro moments in the data. Furthermore, a large risk premium of R&D-intensive stocks is justified in the model as in the data. In addition, as a higher financing cost forecasts lower productivity growth in the model, this prediction is supported by empirical evidence. In the second chapter, I investigate whether heterogeneity between domestic and foreign households can help explain the cross-section of stock returns. For this analysis, I apply Yogo’s (2006) durable consumption model to a two-country setting using Korean stock market data. In Korea, U.S. investors have been a dominant foreign investor group, given that the total share of foreigners is considerably large. By incorporating the stochastic discount factor of the U.S. into the model, I find that it plays a significant role in pricing assets. In particular, our model is successful in accounting for the expected excess return of relatively high book-to-market equity groups, producing lower pricing errors than the Fama-French 3 factor model. In the third chapter, I study the effects of debt maturity choice on stock returns and financial structure. I construct a model where firms can issue both short-term and long-term bonds, subject to collateral constraints. I also assume that, when they run financial deficits, firms use equity finance paying issuance costs. The model performs well in matching empirical facts about stock returns and the financial structure of firms. In addition, the model provides an interesting implication that firms substitute between leverage and maturity. In the literature, theoretical explanations for the substitution relationship have been mainly based on conflicts between stakeholders. Without hinging on the contract-theoretic approach, my model replicates the theoretical prediction.

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." --