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 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 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 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 Partial Vs General equilibrium Models of the International Capital Market written by Bernard Dumas and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this essay, I discuss and compare two ways of modeling international capital market equilibrium: the orthodox, general-equilibrium approach and the heterodox, partial-equilibrium CAPM (Capital Asset Pricing Model) approach. The benchmark for this comparison is the model's ability to provide an explanation for, or take into account, a number of stylized facts of international finance: UIRP deviations, home-equity preference, PPP deviations and their persistence, consumption behavior in relation to wealth. In addition, I ask which approach is more likely in future research to help us identify the relevant state variables of the economy. None of the models satisfactorily explains the stylized facts but the CAPM approach affords the most productive avenue for empirical research in the immediate future.

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 Three Essays on International Asset Pricing written by Chu-Sheng Tai and published by . This book was released on 1999 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Two dimensions that complicate finance in an international setting are market segmentation and foreign exchange risk. With the increasing globalization of financial markets, these two effects require that many issues such as investment analysis, risk management, asset pricing and capital budgeting confronting financial professionals have to rethink in an international context. My dissertation consists of three essays that intend to address the following questions: "Can time-varying risk premia explain the deviations from Uncovered Interest Parity (UIP)?", "Is foreign exchange risk priced in international financial markets?", and "Are emerging financial markets integrated with world markets?"

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 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 Taxation Portfolio Policies and Capital Asset Pricing Theory written by Navendu Vasavada and published by . This book was released on 1983 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 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 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 Essays on Capital Asset Pricing Theory written by Antonius Johannes Van Zijl and published by . This book was released on 1985 with total page 316 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 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: