Download or read book Essays in Asset Pricing and Macroeconomics written by Ruslan Bikbov and published by . This book was released on 2006 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Asset Pricing and Macroeconomics written by Yizhaq Kleshchelski and published by . This book was released on 2008 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Macroeconomics and Asset Pricing written by Jason Lu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Macroeconomics and Asset Pricing written by Jose Francisco Ursua and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Asset Pricing and Macro finance written by Jingwen Shi and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Asset Pricing Debt Valuation and Macroeconomics written by Ram Sai Yamarthy and published by . This book was released on 2017 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation consists of three chapters which examine topics at the intersection of financial markets and macroeconomics. Two of the sections relate to the valuation of U.S. Treasury and corporate debt while the third understands the role of banking frictions on equity markets.More specifically, the first chapter asks the question, what is the role of monetary policy fluctuations for the macroeconomy and bond markets? To answer this question we design a novel asset-pricing framework which incorporates a time-varying Taylor rule for monetary policy, macroeconomic factors, and risk pricing restrictions from investor preferences. By estimating the model using U.S. term structure data, we find that monetary policy fluctuations significantly impact inflation uncertainty and bond risk exposures, but do not have a sizable effect on the first moments of macroeconomic variables. Monetary policy fluctuations contribute about 20% to the variation in bond risk premia. Models with frictions in financial contracts have been shown to create persistence effects in macroeconomic fluctuations. These persistent risks can then generate large risk premia in asset markets. Accordingly, in the second chapter, we test the ability that a particular friction, Costly State Verification (CSV), has to generate empirically plausible risk exposures in equity markets, when household investors have recursive preferences and shocks occur in the growth rate of productivity. After embedding these mechanisms into a macroeconomic model with financial intermediation, we find that the CSV friction is negligible in realistically augmenting the equity risk premium. While the friction slows the speed of capital investment, its contribution to asset markets is insignificant. The third chapter examines how firms manage debt maturity in the presence of investment opportunities. I document empirically that debt maturity tradeoffs play an important role in determining economic fluctuations and asset prices. I show at aggregate and firm levels that corporations lengthen their average maturity of debt when output and investment rates are larger. To explain these findings, I construct an economic model where firms simultaneously choose investment, short, and long-term debt. In equilibrium, long-term debt is more costly than short-term debt and is only used when investment opportunities present themselves in peaks of the business cycle.
Download or read book Essays in Macroeconomics and Asset Pricing written by Ashish Sahay 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 Three Essays on Macroeconomics and Asset Pricing written by Jiangze Bian and published by . This book was released on 2007 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last part of this thesis empirically tests the predictive power of the equity risk premium on future macroeconomic activity. My results indicate that shocks to the risk premium have implications for economic conditions similar to those from monetary policy disturbances.
Download or read book Essays on Asset Pricing written by Sergiy Rakhmayil and published by . This book was released on 2006 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays on Asset Pricing from the Macroeconomic Perspective written by and published by . This book was released on 2014 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays of Macroeconomic Risk and Asset Pricing written by Biley Adelphe Ekponon and published by . This book was released on 2018 with total page 122 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 in Behavioral Finance Asset Pricing and Macroeconomics written by Nitzan Melamed and published by . This book was released on 2001 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on General Equilibrium Asset Pricing Models and Macroeconomics written by James Michael Nason and published by . This book was released on 1987 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays in Finance and Macroeconomics written by Alok Khare and published by ProQuest. This book was released on 2007 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a collection of essays relating to asset pricing. The first two essays study the effect of home mortgages on asset prices. The first essay is motivated by Equity Premium Puzzle of Mehra and Prescott. It studies a life cycle economy with home mortgages in it. They key finding is that model is able to generate equity premium consistent with US data for reasonable parameterizations and the equity premium goes up as the agents leverage more to buy the houses.
Download or read book Essays on Finance Learning and Macroeconomics written by Joseph Buchman Doyle (Jr.) and published by . This book was released on 2012 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of four essays on finance, learning, and macroeconomics. The first essay studies whether learning can explain why the standard consumption-based asset pricing model produces large pricing errors for U.S. equity returns. I prove that under learning standard moment conditions need not hold in finite samples, leading to pricing errors. Simulations show that learning can generate quantitatively realistic pricing errors and a substantial equity risk premium. I find that a model with learning is not rejected in the data, producing pricing errors that are statistically indistinguishable from zero. The second essay (co-authored with Anna Mikusheva) studies the properties of the common impulse response function matching estimator (IRFME) in settings with many parameters. We prove that the common IRFME is consistent and asymptotically normal only when the horizon of IRFs being matched grows slowly enough. We use simulations to evaluate the performance of the common IRFME in a practical example, and we compare it with an infrequently used bias corrected approach, based on indirect inferences. Our findings suggest that the common IRFME performs poorly in situations where the sample size is not much larger than the horizon of IRFs being matched, and in those situations, the bias corrected approach with bootstrapped standard errors performs better. The third essay (co-authored with Ricardo Caballero) documents that, in contrast with their widely perceived excess return, popular carry trade strategies yield low systemicrisk- adjusted returns. In contrast, hedging the carry with exchange rate options produces large returns that are not a compensation for systemic risk. We show that this result stems from the fact that the corresponding portfolio of exchange rate options provides a cheap form of systemic insurance. The fourth essay shows that the documented overbidding in pay-as-you-go auctions relative to a static model can be explained by the presence of a small subset of aggressive bidders. I argue that aggressive bidding can be rational if users are able to form reputations that deter future competition, and I present empirical evidence that this is the case. In auctions without any aggressive bidders, there is no evidence of overbidding in PAYGA.
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.
