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 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 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 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 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 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 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 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 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 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 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 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 and Foreign Exchange Risk written by Basma Majerbi and published by . This book was released on 2003 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The purpose of this thesis is to provide new evidence on the pricing of foreign exchange risk in the stock market by testing international asset pricing models (IAPMs) under varying market structures and different exchange rate measures. It is composed of three essays. In the first essay, I test unconditional asset pricing models with exchange risk using country, portfolio and firm level data from nine emerging markets (EMs). It is shown that unlike the case for developed markets where unconditional tests often fail to detect a significant exchange risk premium in stock returns, exchange risk is unconditionally priced in EMs. However, when local market risk is introduced in the model to take into account potential segmentation effects, exchange risk premia are totally subsumed by local risk premia for most countries especially at the firm level. The second essay examines the significance of exchange risk in conditional IAPMs using multivariate GARCH-in-Mean specification and time varying prices of risk. The model tested assumes partial integration and uses real exchange rates to account for both inflation risk and nominal exchange risk. The main empirical results support the hypothesis of significant exchange risk premia in EMs equity returns even after accounting for local market risk. The exchange risk premia are also economically significant as they represent on average 18 percent of total premium, and may reach up to 45 percent of total premium for some countries over sub-periods. In the third essay, I test for the pricing of exchange risk in stock returns using globally diversified sector portfolios. The purpose of this test is to examine the effect of cross-currency diversification on the global price of foreign exchange risk. Since there is no previous evidence on this issue, I use data on the G7 countries and EMs. The results suggest that the effects of exchange risk may be less significant in pricing global assets such as global s" --

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 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.