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 Two Essays on Asset Pricing and Options Market written by Huimin Zhao (Ph. D.) and published by . This book was released on 2008 with total page 184 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Asset Pricing and Options Market written by Huimin Zhao and published by Open Dissertation Press. This book was released on 2017-01-27 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Two Essays on Asset Pricing and Options Market" by Huimin, Zhao, 趙慧敏, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4150839 Subjects: Options (Finance) Capital assets pricing model

Download or read book Two Essays on Asset Pricing written by Dan Luo and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Two Essays on Asset Pricing" by Dan, Luo, 罗丹, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives. The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments have been reasonably priced and integrated within the financial market generally, both before and during the financial crisis. We first design a procedure to value CDO tranches using an intensity-based model which falls into the affine model class. The CDX tranche spreads are efficiently explained by a three-factor version of this model, before and during the crisis period. We then construct tradable CDX tranche portfolios, representing the three default intensity factors. These portfolios capture the same exposure as the S&P 500 index optionmarket, to a market crash. We regress these CDX factors against the underlying index, the volatility factor, and the smirk factor, extracted from the index option returns, and against the Fama-French market, size and book-to-market factors. We finally argue that the CDX spreads are integrated in the financial market, and their issuers have not made excess returns. The second essay explores the specifications of jumps for modeling stock price dynamics and cross-sectional option prices. We exploit a long sample of about 16 years of S&P500 returns and option prices for model estimation. We explicitly impose the time-series consistency when jointly fitting the return and option series. We specify a separate jump intensity process which affords a distinct source of uncertainty and persistence level from the volatility process. Our overall conclusion is that simultaneous jumps in return and volatility are helpful in fitting the return, volatility and jump intensity time series, while time-varying jump intensities improve the cross-section fit of the option prices. In the formulation with time-varying jump intensity, both the mean jump size and standard deviation of jump size premia are strengthened. Our MCMC approach to estimate the models is appropriate, because it has been found to be powerful by other authors, and it is suitable for dealing with jumps. To the best of our knowledge, our study provides the the most comprehensive application of the MCMC technique to option pricing in affine jump-diffusion models. DOI: 10.5353/th_b4819935 Subjects: Capital assets pricing model

Download or read book Essays in Asset Pricing and Portfolio Choice written by Philipp Karl Illeditsch and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Ơ̐1rst essay, I decompose inƠ̐2ation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor0́9s preferences and investment opportunities and (ii) a residual part. I show that only the Ơ̐1rst part earns a risk premium. All nominal Treasury bonds, including the nominal money-market account, are equally exposed to the residual part except inƠ̐2ation-protected Treasury bonds, which provide a means to hedge it. Every investor should put 100% of his wealth in the market portfolio and inƠ̐2ation-protected Treasury bonds and hold a zero-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset allocation problem of Ơ̐1nite lived, constant relative risk averse investors who face inƠ̐2ation risk and can invest in cash, nominal bonds, equity, and inƠ̐2ation-protected bonds when the investment opportunityset is determined by the expected inƠ̐2ation rate. I estimate the model with nominal bond, inƠ̐2ation, and stock market data and show that if expected inƠ̐2ation increases, then investors should substitute inƠ̐2ation-protected bonds for stocks and they should borrow cash to buy long-term nominal bonds. In the lastessay, I discuss how heterogeneity in preferences among investors withexternal non-addictive habit forming preferences aƠ̐0ects the equilibrium nominal term structure of interest rates in a pure continuous time exchange economy and complete securities markets. Aggregate real consumption growth and inƠ̐2ation are exogenously speciƠ̐1ed and contain stochastic components thataƠ̐0ect their means andvolatilities. There are two classes of investors who have external habit forming preferences and diƠ̐0erent localcurvatures oftheir utility functions. The eƠ̐0ects of time varying risk aversion and diƠ̐0erent inƠ̐2ation regimes on the nominal short rate and the nominal market price of risk are explored, and simple formulas for nominal bonds, real bonds, and inƠ̐2ation risk premia that can be numerically evaluated using Monte Carlo simulation techniques are provided.

Download or read book Essays on Asset Pricing and Portfolio Choice written by Benjamin Jonen and published by . This book was released on 2012 with total page 113 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Asset Pricing written by Xiaofei Zhao 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 Two Essays in Asset Pricing written by Jangwook Lee 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 on Asset Pricing and Portfolio Choice written by Hsin-hung Jerry Tsai and published by . This book was released on 2013 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Asset Pricing and Portfolio Choice written by Mahmoud Botshekan and published by . This book was released on 2012 with total page 142 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Asset Pricing Portfolio Choice and Behavioral Finance written by Ehud Peleg and published by ProQuest. This book was released on 2008 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Asset Pricing written by Jianhua Yuan and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Asset Pricing written by 罗丹 and published by . This book was released on 2012 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Empirical Asset Pricing written by Liang Zhang and published by . This book was released on 2008 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Two Essays on Empirical Asset Pricing written by Yangqiulu Luo and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of two essays on empirical asset pricing. The first essay examines if the idiosyncratic risk is priced. Theories such as Merton (1987) predict that idiosyncratic risk should be priced when investors do not diversify their portfolio. However, the previous literature has presented a mixed set of results of the pricing of idiosyncratic risk. We find strong evidence that idiosyncratic risk is priced differently across bull and bear markets. For the sample period from June 1946 to the end of 2010, a factor portfolio long on stocks with high idiosyncratic volatility and short on stocks with low idiosyncratic volatility yields an equal-weighted monthly return of 1.59% for bull markets but -1.29% for bear markets. These evidences support the hypothesis that investors are rewarded for betting on individual stocks during bull markets and holding more diversified portfolios during bear markets. The second essay examines the role of the limits to arbitrage in the negative effect of liquidity on subsequent stock returns. I hypothesize that if the negative effect persists because of the limits to arbitrage, the effect should be more pronounced when there are more severe limits to arbitrage. My empirical evidence supports the hypothesis. In addition, I find that the effect of the limits to arbitrage on the liquidity anomaly is not correlated to the liquidity risk.

Download or read book Two Essays on Asset Pricing written by Dan Luo (Ph. D.) and published by . This book was released on 2012 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in asset pricing written by Fatima Khushnud and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation follows on an asset pricing theme. Overall, it explores asset pricing tests in the equity and the bond markets and attempts to identify the common risk factors that best explain cross sectional variation in stock and bond returns. The first three studies use US data, while the last study explores European bonds data. The sample period is from January 2002 to December 2012 and the Fama and French (1993) time series framework is used in each of the studies. The first two studies in this dissertation focus on equity markets, while the third and fourth study encompasses the US and European corporate bond markets respectively. There has been extensive research on asset pricing models. However, despite being a well-researched area, there is little consensus as to which model is most appropriate. Motivated by this gap in literature, this thesis builds on the work of Fama and French (1993) and applies their time series framework to both equity and bonds. Chapter 2 draws on the link between firm leverage and stock returns as supported by capital structure theory. It examines whether a leverage (LEV) factor exhibits explanatory power over the US stock return variations. The analysis indicates that the LEV factor significantly contributes towards the explanatory power of the fitted models and thus appears to have some explanatory power over U.S. stock returns. Chapter 3 addresses the question of whether ex-post returns should be used in testing ex-ante asset pricing models. This chapter explores the impact of using IBES mean target price as a proxy for expected price in tests of the CAPM, Fama and French (1993) three factor and the Cahart (1997) four factor models. The analysis suggests that the expectation based proxy of returns performs in a similar manner to realized returns in asset pricing tests and thus the use of realized returns should not adversely bias asset pricing tests. Chapter 4 and 5 add to the bond pricing literature by applying time-series studies to US and European bonds. Chapter 4 investigates common risk factors within the US corporate bond returns. The analysis shows that stock market factors do not add explanatory power to the bond return models used in this study. The bond market factor, DEF, dominates all other explanatory variables in regression analysis. Chapter 5 of this dissertation examines the common risk factors explaining variation within the European corporate bond returns. The results are consistent with Chapter 4 indicating that the European DEF factor also captures much of the variation in European bond returns. This dissertation enhances our understanding of the asset pricing models within a Fama and French (1993) time series framework for both equity and bond markets. Support is provided for the importance of leverage in asset pricing. The choice between realised returns and expected returns is also explored in this thesis, with the results suggesting that this choice has little impact on the results from time series asset pricing tests. The pricing of corporate bonds is also explored with evidence to confirm the Fama and French (193) result that equity and bond pricing models differ considerably in US market. Finally, it is found that the key pricing factors are common to both US and European corporate bonds.