Download or read book Essays in Asset Pricing and Corporate Finance written by Yu Wang and published by . This book was released on 2001 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Asset Pricing and Corporate Finance written by Raffaele Corvino and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Asset Pricing and Corporate Finance written by Marco Menner 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 in Asset Pricing and Corporate Finance written by Ivan Petzev and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 Emirical Asset Pricing and Corporate Finance Behavioral Finance Regulations and M A written by Barış İnce and published by . This book was released on 2019 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Implied Cost of Capital with Applications to Asset Pricing and Corporate Finance written by Patrick Frank Kurt Bielstein and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Corporate Finance Monetary Policy and Asset Pricing on London Stock Exchange written by Nikolaos Balafas and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Corporate Finance Theory and Behavioral Asset Pricing written by Jieying Hong and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three self-contained papers. The first two papers study how firms should be structured to facilitate their access to funds in the face of agency conflicts between borrowers (firms) and lenders (investors). Chapter 1 studies the relationship between firm scope and financial constraints. Chapter 2 uses an optimal contracting approach to analyze the development of an innovative product through strategic alliance by an entrepreneur and an incumbent. Chapter 3 analyzes whether traders' experience reduce their propensity to speculate?

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 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 Financial Econometrics Asset Pricing and Corporate Finance written by Markus Pelger and published by . This book was released on 2015 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation explores how tail risk and systematic risk affects various aspects of risk management and asset pricing. My research contributions are in econometric and statistical theory, in finance theory and empirical data analysis. In Chapter 1 I develop the statistical inferential theory for high-frequency factor modeling. In Chapter 2 I apply these methods in an extensive empirical study. In Chapter 3 I analyze the effect of jumps on asset pricing in arbitrage-free markets. Chapter 4 develops a general structural credit risk model with endogenous default and tail risk and analyzes the incentive effects of contingent capital. Chapter 5 derives various evaluation models for contingent capital with tail risk. Chapter 1 develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data. I derive a new estimator for the number of factors and derive consistent and asymptotically mixed-normal estimators of the loadings and factors under the assumption of a large number of cross-sectional and high-frequency observations. The estimation approach can separate factors for normal "continuous" and rare jump risk. The estimators for the loadings and factors are based on the principal component analysis of the quadratic covariation matrix. The estimator for the number of factors uses a perturbed eigenvalue ratio statistic. The results are obtained under general conditions, that allow for a very rich class of stochastic processes and for serial and cross-sectional correlation in the idiosyncratic components. Chapter 2 is an empirical application of my high-frequency factor estimation techniques. Under a large dimensional approximate factor model for asset returns, I use high-frequency data for the S & P 500 firms to estimate the latent continuous and jump factors. I estimate four very persistent continuous systematic factors for 2007 to 2012 and three from 2003 to 2006. These four continuous factors can be approximated very well by a market, an oil, a finance and an electricity portfolio. The value, size and momentum factors play no significant role in explaining these factors. For the time period 2003 to 2006 the finance factor seems to disappear. There exists only one persistent jump factor, namely a market jump factor. Using implied volatilities from option price data, I analyze the systematic factor structure of the volatilities. There is only one persistent market volatility factor, while during the financial crisis an additional temporary banking volatility factor appears. Based on the estimated factors, I can decompose the leverage effect, i.e. the correlation of the asset return with its volatility, into a systematic and an idiosyncratic component. The negative leverage effect is mainly driven by the systematic component, while it can be non-existent for idiosyncratic risk. In Chapter 3 I analyze the effect of jumps on asset pricing in arbitrage-free markets and I show that jumps have to come as a surprise in an arbitrage-free market. I model asset prices in the most general sensible form as special semimartingales. This approach allows me to also include jumps in the asset price process. I show that the existence of an equivalent martingale measure, which is essentially equivalent to no-arbitrage, implies that the asset prices cannot exhibit predictable jumps. Hence, in arbitrage-free markets the occurrence and the size of any jump of the asset price cannot be known before it happens. In practical applications it is basically not possible to distinguish between predictable and unpredictable discontinuities in the price process. The empirical literature has typically assumed as an identification condition that there are no predictable jumps. My result shows that this identification condition follows from the existence of an equivalent martingale measure, and hence essentially comes for free in arbitrage-free markets. Chapter 4 is joint work with Behzad Nouri, Nan Chen and Paul Glasserman. Contingent capital in the form of debt that converts to equity as a bank approaches financial distress offers a potential solution to the problem of banks that are too big to fail. This chapter studies the design of contingent convertible bonds and their incentive effects in a structural model with endogenous default, debt rollover, and tail risk in the form of downward jumps in asset value. We show that once a firm issues contingent convertibles, the shareholders' optimal bankruptcy boundary can be at one of two levels: a lower level with a lower default risk or a higher level at which default precedes conversion. An increase in the firm's total debt load can move the firm from the first regime to the second, a phenomenon we call debt-induced collapse because it is accompanied by a sharp drop in equity value. We show that setting the contractual trigger for conversion sufficiently high avoids this hazard. With this condition in place, we investigate the effect of contingent capital and debt maturity on capital structure, debt overhang, and asset substitution. We also calibrate the model to past data on the largest U.S. bank holding companies to see what impact contingent convertible debt might have had under the conditions of the financial crisis. Chapter 5 develops and compares different modeling approaches for contingent capital with tail risk, debt rollover and endogenous default. In order to apply contingent convertible capital in practice it is desirable to base the conversion on observable market prices that can constantly adjust to new information in contrast to accounting triggers. I show how to use credit spreads and the risk premium of credit default swaps to construct the conversion trigger and to evaluate the contracts under this specification.

Download or read book Essays in Asset Pricing written by Aytek Malkhozov and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Behavioral and Corporate Finance written by Tomas Hernan Reyes Torres and published by . This book was released on 2012 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation examines the factors that influence investors' attention to the stock market and the relationship that exists among attention and real output variables including stock returns, trading volume, and volatility. Traditional asset pricing models assume that information is effortlessly obtained and instantaneously incorporated into pricing. This assumption requires that investors devote sufficient attention to the asset, and ignores the existence of various channels through which public information is disseminated. In reality, attention is a scarce cognitive resource which is related to the effort that investors must expend to obtain information; the implications of this contingency of attention on these limitations have been remarkably under-researched in the past. In the first chapter of this study, I familiarize readers with Google Trends data and explain why such data is a better source to proxy for attention than the measures previously used in the literature. Next, utilizing this data, I describe how to measure investors' attention with regard to M\&A announcements, and show that attention is not instantaneous with the release of information, but is, instead, spread over a period surrounding the announcement. Retail investors pay attention and demand information about a firm as the announcement date approaches, during the announcement, and for days afterward. Finally, I present three aggregate measures of attention in the stock market, which are also based on search volume from Google. After constructing these measures, I study how they correlate with, but differ from, existing proxies of attention. In the second chapter, I consider whether limited attention explains the announcement effect bias found in the M\&A literature concerning merger and acquisition announcements. More specifically, I ask: How does variation in investors' attention affect the capital market response to M\&A announcements? To answer this question I rely on the measure for attention to M\&A announcements described in the previous chapter and find that high abnormal attention on the day of announcement predicts high adjusted abnormal returns the day after. This effect is strongest among firms with high standard deviations and betas, and it partially reverses over the following months. The third chapter argues that negative stock market performance attracts more attention from retail investors than comparable positive performance. Specifically, I rely on the three aggregate measures of attention in the stock market to test and confirm the hypothesis that retail investors pay more attention to negative rather than positive extreme returns. Empirical results strongly support that with respect to stock returns investors display this negativity bias in attention allocation. Across all specifications, lagged negative extreme returns are stronger predictors than positive extreme returns of high attention at the stock and market level. I rule out that negative returns are stronger simply because they are more unusual or because negative and positive returns are not symmetrical events to stockholders.

Download or read book Three Essays in Asset Pricing written by Yoon Kang Lee and published by . This book was released on 2018 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three chapters that aim to understand how the interactions between various investors and instruments in financial markets are linked to asset prices.

Download or read book Two Essays on Asset Pricing and Asset Choice written by James Eric Gunderson and published by . This book was released on 2004 with total page 336 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.