Download or read book Essays in Technology Diffusion and Asset Pricing written by Ziemowit Konrad Bednarek and published by . This book was released on 2000 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Technology and Asset Pricing written by Po-Hsuan Hsu and published by . This book was released on 2007 with total page 354 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 Asset Pricing in Production Economies written by Andrew Yeh-Chi Chen and published by . This book was released on 2014 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: Chapter 3 examines general restrictions on production technologies implied by asset prices. It shows that representative firm models which are consistent with asset price data require either large capital adjustment costs, or volatile investment-specific technology shocks. These restrictions hold regardless of preferences, beliefs, operating leverage, or the completeness of asset markets. The restrictions summarize the sense in which asset prices are anomalous with respect to the theory of optimal investment.

Download or read book Two Essays on Empirical Asset Pricing written by Xiaohong Zheng and published by . This book was released on 2007 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Three Essays on Non linear Asset Pricing written by and published by . This book was released on 2014 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation studies the asset pricing implications of non-linear models, including regime-switching models and non-linear diffusion models. The first chapter investigates empirically the effects of regime switches in stock returns and volatilities. First, the empirical results suggest that the expected excess return and the volatility are the monotonically increasing functions of the investors' belief. It implies that risk aversion is time-varying and the representative agent is more risk averse in the bear regime so that higher expected excess return and higher volatility are generated in the bear regime. The empirical work also finds that the term spread, the inflation rate, and the T-bill rate have significant business cycle patterns in the predictive regressions. For example, the term spread is positively related to the stock market returns in the bull regime, but is negatively related to the stock market returns in the bear regime. This suggests that the increasing term spread is a good news in the bad regime because it indicates that the economy is improving and will recover soon, thus the investors require a lower equity premium. In the second chapter, an econometric method is developed for pricing and estimation for a newclass of non-linear diffusion processes. These type of non-linear diffusion processes are used to model the dynamics of the VIX index under both the objective measure and the risk-neutral measure, where the latter is estimated from futures prices. The difference between the drifts under the objective measure and the risk-neutral measure is defined as a measure of the variance risk premium. The predictive regressions demonstrate that the variance risk premium estimated by the non-linear diffusion models has stronger predictive power for stock returns than the affine models. In the third chapter, a hidden Markov model is used to describe the dynamics of the realized variance of stock market returns. I investigate the relations among the variance regime, variance risk premium, and stock market returns. I find that the variance risk premium, i.e., the difference between the expected return variation under the risk-neutral and the physical measures, is higher in the high-variance regime, in which the volatility-of-volatility is high. However, the positive relation between the variance risk premium and future stock returns is entirely due to a component of variance risk premium that is orthogonal to the current realized variance and the variance regime. The results suggest that the predictive power of the variance risk premium for stock returns is more likely due to its correlation with time-varying risk aversion than with time-varying risks.

Download or read book Essays on Market Efficiency and Asset Pricing written by Chee Tong Lee and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Asset Pricing written by Ran Shi and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Asset Pricing Anomalies written by Serena Frazzoni and published by . This book was released on 2006 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing written by Tian Liang and published by . This book was released on 2008 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing and the Horizon Effect written by Chenglu Jin and published by . This book was released on 2018 with total page 167 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing Anomalies written by Quan Wen and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Asset Pricing and Machine Learning written by Jason Yue Zhu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis we study two applications of machine learning to estimate models that explains asset prices by harnessing the vast quantity of asset and economic information while also capturing complex structure among sources of risk. First we show how to build a cross-section of asset returns, that is, a small set of basis or test assets that capture complex information contained in a given set of characteristics and span the Stochastic Discount Factor (SDF). We use decision trees to generalize the concept of conventional sorting and introduce a new approach to robustly recover the SDF, which endogenously yields optimal portfolio splits. These low-dimensional investment strategies are well diversified, easily interpretable, and reflect many characteristics at the same time. Empirically, we show that traditional cross-sections of portfolios and their combinations, especially deciles and long-short anomaly factors, present too low a hurdle for model evaluation and serve as the wrong building blocks for the SDF. Constructed from the same pricing signals, our cross-sections have significantly higher (up to a factor of three) out-of-sample Sharpe ratios and pricing errors relative to the leading reduced-form asset pricing models. In the second part of the thesis, I present deep neural networks to estimate an asset pricing model for individual stock returns that takes advantage of the vast amount of conditioning information, while keeping a fully flexible form and accounting for time-variation. The key innovations are to use the fundamental no-arbitrage condition as criterion function to construct the most informative test assets with an adversarial approach and to extract the states of the economy from many macroeconomic time series. Our asset pricing model outperforms out-of-sample all benchmark approaches in terms of Sharpe ratio, explained variation and pricing errors and identifies the key factors that drive asset prices.

Download or read book Essays in asset pricing and information economics written by Vassilios Dimitrakas and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Empirical Asset Pricing written by Jiantao Huang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Information Acquisition and Asset Pricing written by Paul Marmora and published by . This book was released on 2015 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I explore different mechanisms by which information is generated in financial markets, and whether these mechanisms can account for empirical anomalies that models without information choice have difficulty explaining. In the first chapter, I survey the theoretical literature on perfectly competitive asset markets, with a particular focus on rational expectations models with endogenous information acquisition. In the second chapter, ``The Distribution of Information, the Market for Financial News, and the Cost of Capital", I present a rational expectations model with a competitive market for financial news that provides an explanation for why stocks with a higher degree of information asymmetry tend to earn higher expected returns. I demonstrate that when a small fraction of investors hold a large fraction of a firm's private information, few investors demand a copy of firm-specific news in equilibrium. As a result, each investor must incur a larger share of the fixed cost of news production to obtain a copy, which deters investors from learning more about the firm and therefore raises their required risk premium. This result hinges crucially on the ability of investors to share in the fixed cost of news production, which suggests that the financial news media plays an important role in determining how the cost of capital varies with the inequality of information across investors. In the third chapter, ``Learning About Noise" (with Oleg Rytchkov), we study theoretical implications of endogenous acquisition of non-fundamental information in financial markets. We develop a rational expectations model with heterogeneous information and multidimensional costly learning and demonstrate that i) investors specialize in information acquisition, that is, those who are endowed with high (low) quality information about fundamentals learn only about fundamentals (noise), ii) learning about fundamentals increases the asymmetry of information, whereas learning about noise decreases it, and iii) the opportunity to learn about noise unambiguously increases price informativeness.