Download or read book Essays in international asset pricing written by James Anthony Bennett and published by . This book was released on 1994 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Asset Pricing written by René Marcel Stulz and published by . This book was released on 1980 with total page 300 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Asset Pricing in Partially Segmented Markets written by Sundaram Janakiramanan and published by . This book was released on 1986 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Asset Pricing written by Wei Huang and published by . This book was released on 2001 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Empirical International Asset Pricing written by Shu-Hsiu Chen 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 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 on International Asset Pricing written by Latha Ramchand and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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

Download or read book Essays on International Capital Asset Pricing written by Hengyong Mo and published by . This book was released on 2007 with total page 110 pages. Available in PDF, EPUB and Kindle. Book excerpt: Essay2. We study the pricing of illiquid cross exchange rate options by identifying stochastic discount factors embedded in currency triangles. We develop dynamic models of stochastic discount factors, under which the stochastic discount factor in each economy is decomposed into a global diffusion risk component and a country-specific jump-diffusion risk component. Separate stochastic time changes are further applied to the two components so that stochastic volatilities can come separately from both global and country-specific risks. We propose to identify both the global and the country-specific risks for three economies using options on the three currency pairs that form a currency triangle. Then, by incorporating options on any other currency pair that links to one of the three economies, we can also identify the country-specific risk dynamics in the fourth economy and thus price options on currency pairs that involve the fourth economy.

Download or read book Essays on International Asset Pricing written by Timothy Kwing Hung Chue and published by . This book was released on 1999 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Asset Pricing Anomalies written by Ching-Chih Lu and published by . This book was released on 2005 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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:

Download or read book Two Essays on International Asset Pricing written by Pheng Lui Chng and published by . This book was released on 1998 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Asset Pricing in General Equilibrium written by Tribhuvan N. Puri and published by . This book was released on 1986 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Asset Pricing written by Ying Wu and published by . This book was released on 2013 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: The empirical research focuses on the common risk factors in stock returns and trading activities. The first essay is titled "Asset Pricing with Extreme Liquidity Risk". Defining extreme liquidity as the tails of illiquidity for all stocks, I propose a direct measure of market-wide extreme liquidity risk and find that extreme liquidity risk is priced cross-sectionally in the U.S. equity market. From 1973 through 2011, stocks in the highest quintile of extreme liquidity risk loadings earned value-weighted average returns 6.6% per year higher than stocks in the lowest quintile. The extreme liquidity risk premium is robust to common risk factors related to size, value and momentum. The premium is different from that on aggregate liquidity risk documented in Pástor and Stambaugh (2003) as well as that based on tail risk of Kelly (2011). Extreme liquidity estimates can offer a warning sign of extreme liquidity events. Predictive regressions show that extreme liquidity measure reliably outperforms aggregate liquidity measures in predicting future market returns. Finally, I incorporate the extreme liquidity risk into Acharya and Pedersen's (2005) framework and find new supporting evidence for their liquidity-adjusted capital asset pricing model. The second essay is co-authored with Prof. Andrew Karolyi. We have developed a multi-factor returns-generating model for an international setting that captures how restrictions on investability or accessibility can matter. The model works reasonably well in a wide variety of settings. More specifically, using monthly returns for over 37,000 stocks from 46 developed and emerging market countries over a two-decade period, we propose and test a multi-factor model that includes factor portfolios based on firm characteristics and that builds separate factors comprised of globally-accessible stocks, which we call "global factors," and of locally-accessible stocks, which we call "local factors." Our new "hybrid" multi-factor model with both global and local factors not only captures strong common variation in global stock returns, but also achieves low pricing errors and rejection rates using conventional testing procedures for a variety of regional and global test asset portfolios formed on size, value, and momentum. In the third essay, I examine the implications of the Lo and Wang (2000, 2006) mutual fund separation model in the cross-sectional behavior of global trading activity. It demonstrates that return-based factors work poorly around the world. On average across countries, market-wide turnover captures 37% of all systematic turnover components in individual stock trading, and two additional Fama and French (1993) factor turnovers increase the explanatory power by 23%. Similarly Lo and Wang's (2000) turnovers only capture on average 64% of all systematic turnover components. Using this multi-factor asset pricing-trading framework, a horserace is further performed to explore other factors in return by examining the turnover behavior of different factor mimicking portfolios. All the return-based factors capture at most 67% of the common variation in trading, suggesting that stock pricing and trading volume may not be compatible around the world. In cross-country analysis, the explanatory power of the returnbased factor model varies substantially across countries and markets, with better performance for European developed markets and China. Surprisingly, in North America, Japan and most emerging markets there are larger amounts of commonality in trading, mostly higher than 47 %, for reasons other than return motive.

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: