Empirical Essays On Cross Sectional Asset Pricing And Institutional Investors
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Empirical Essays On Cross Sectional Asset Pricing And Institutional Investors
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Author :
language : en
Publisher:
Release Date : 2016
Empirical Essays On Cross Sectional Asset Pricing And Institutional Investors written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Essays In Empirical Asset Pricing
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Author : Weike Xu
language : en
Publisher:
Release Date : 2016
Essays In Empirical Asset Pricing written by Weike Xu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Institutional investors categories.
This dissertation includes two essays. The first essay examines how changes in ownership breadth affect the profitability of 21 anomaly-based strategies. I find that the profitability of these strategies is weaker following a growth in ownership breadth in the prior quarter. The return pattern is primarily attributed to the insignificant returns in the short portfolios. In addition, reduction in short-sale constraints due to increase in the ownership breadth can explain the insignificant return in the short portfolio. The conclusions stay the same after controlling for the common risk factors including the Fama-French three factors and the momentum factor. My results are robust to different size groups, different portfolio weighting methods, an alternative measure of active institutional investors and cross-sectional regression tests. These findings indicate that active institutional investors improve market efficiency. In the second essay, I examine how the relaxation of short-sale constraints affects the readability in financial disclosures using a natural experiment. From 2005 to 2007, the SEC implemented a pilot program in which one-third of the Russell 3000 stocks were randomly selected as pilot stocks and were exempted from short-sale price tests. I find that the readability of 10-K reports for the pilot stocks significantly decreases during the program period. Moreover, the relation between a reduction in short-sales constraint and annual report readability is not uniform in the cross-section. I find that the results are more pronounced for firms that are smaller, less profitable or riskier; for firms that have lower institutional ownership or analyst coverage; and for firms with worse corporate governance or corporate social responsibility. I conclude that Regulation SHO leads to lower readability in the context of financial disclosures.
Three Essays On Empirical Asset Pricing
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Author : Wenqing Wang
language : en
Publisher:
Release Date : 2004
Three Essays On Empirical Asset Pricing written by Wenqing Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Investments categories.
Three Essays On Empirical Asset Pricing
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Author : Amir Akbari
language : en
Publisher:
Release Date : 2016
Three Essays On Empirical Asset Pricing written by Amir Akbari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
"This thesis explores the role of borrowing frictions, exchange rate risk, and intertemporal demand in stock prices across international financial markets. Specifically, I study how global asset prices are governed, considering the constraints and incentives that investors face when making investment decisions. The first essay adds a new dimension to the research on the dynamics of global market integration, providing an explanation for reversals in market integration via funding illiquidity. I show that when funding capital dries out, investors, unable to borrow and trade freely, fail to facilitate the integration process. Therefore, international asset prices during these periods are explained more by country-specific asset pricing factors than by global asset pricing factors. The second essay explores the role of exchange rate risk and intertemporal demand in international markets. These sources of risk are linked via the interest rate channel and are both likely proxies of the state variables that affect asset prices over time. We carefully disentangle the two risk factors and study the international equity market indices with multiple risk factors in a large cross-section through time. We show that the evidence of global pricing of risk crucially hinges on pooling assets with substantial cross-sectional variation. The third essay introduces a methodological innovation to study the dynamics of the compensation for the intertemporal risk in business cycles. Specifically, we contribute to the empirical asset pricing literature by studying the relative importance of prices of intertemporal risk during recessions, recoveries, and expansions." --
Empirical Asset Pricing
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Author : Turan G. Bali
language : en
Publisher: John Wiley & Sons
Release Date : 2016-02-26
Empirical Asset Pricing written by Turan G. Bali and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-26 with Business & Economics categories.
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Three Essays In Empirical Asset Pricing
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Author : Stephen Szaura
language : en
Publisher:
Release Date : 2021
Three Essays In Empirical Asset Pricing written by Stephen Szaura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
"This thesis comprises three essays in empirical asset pricing. My first essay entitled "Are stock and corporate bond markets integrated? A Big Data Approach" I document the existence a growing Factor Zoo of discovered characteristics and factors that predict the cross-section of corporate bond returns and generate a significant high minus low portfolio alpha. I determine a higher statistical benchmark, by accounting for those characteristics and factors that have been discovered in published and working papers and find that in cross-sectional regressions and portfolio sorts of over a hundred characteristics and factors, on average 2.4% predict the cross-section of corporate bond returns when adjusting for higher benchmarks. A multivariate horse-race of all characteristics and factors in cross-sectional regressions finds a higher number of corporate bond, rather than stock, characteristics and factors that predict the cross-section of corporate bond returns when adjusting for higher benchmarks. In addition to the lower number of corporate bond characteristics and factors that predict the cross-section of stock returns, my results show that the stock and corporate bond markets are more segmented than previously documented.My second essay is based on a joint working paper entitled "Do Option Implied Measures of Stock Mispricing Find Investment Opportunities or Market Frictions" where we find that existing option implied stock mis-pricing measures, the portfolios identified as being the most mispriced (highest quintile), typically have the highest shorting fee. When those stocks are omitted, the average abnormal returns of the long-short stock portfolios are insignificant or greatly reduced in economic magnitude. We propose a new measure, IPD, using a novel intra-day options trades data set, circumvents this and does not require shorting hard to borrow firms.My third essay is based on a joint working paper entitled "Accounting Transparency and the Implied Volatility Skew". We show theoretically and empirically that firms with higher accounting transparency have an implied volatility smirk that is more sensitive to leverage (vice versa). The more clear the accounting information the more skewed the implied volatility smirk. Our theoretical predictions rely on extending the Duffie and Lando [2001] credit risk model to stock option pricing whereby incomplete accounting information and the risk of bankruptcy together act as an economic source of jump risk for stocks. Empirical tests confirm the theoretical predictions of the model and the model can be solved in closed form solution up to Bivariate Standard Normal Cumulative Distribution Function"--
Essays On Empirical Asset Pricing
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Author : Dimitrios Nteventzis
language : en
Publisher:
Release Date : 2022
Essays On Empirical Asset Pricing written by Dimitrios Nteventzis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
This dissertation consists of three essays on empirical asset pricing. In the first paper, we examine the impact of test criteria in identifying true asset pricing factors. We focus on the Sharpe ratio and pricing performance improvement. While both criteria are exposed to model misspecification, we find that pricing performance criteria are inferior as their performance is driven by estimation bias. Through an empirical application, we demonstrate the impact of the criteria on the subset of selected factors. In the second paper, we study the cross-section of corporate bonds by utilizing a large set of financial statements, equity and bond characteristics. We use a predictive regression framework and the adaptive Lasso to choose the most relevant characteristics. Applying the adaptive Lasso, we find a ten-factor model, with value, bond reversal, and equity momentum spillover being the dominant factors. We evaluate the economic benefits of investing according to the predictions of the adaptive Lasso and find significant benefits in terms of absolute and risk-adjusted returns. In the third paper, we evaluate the ability of U.S. corporate bond fund managers to generate alpha. We apply the False Discovery Rate (FDR) to distinguish between "skill" and "luck". We find that long-term out-performance remains elusive, with only 1% of the funds able to generate significant alpha over their life. However, fund managers can generate alpha over the short-term, with the proportion of skilled funds increasing to 13.5% when we examine three-year sub-periods.
Three Essays On Risk Uncertainty And Expected Returns
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Author : Sina Ehsani
language : en
Publisher:
Release Date : 2015
Three Essays On Risk Uncertainty And Expected Returns written by Sina Ehsani and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
The first chapter of this dissertation explores the effects of the recent rise of passive investing on the U.S. stock market. The analysis establishes a strong relation between passive investment and aggregate price dynamics such as systematic volatility, idiosyncratic volatility, and price synchronicity, suggesting that investors should consider trading activity of passive products in decision making. The second chapter examines the pricing of characteristics and betas in the cross-section of expected corporate loan returns. Despite the increasing popularity of the secondary loan market among institutional investors, this market is unexplored in the context of empirical asset pricing literature. This comprehensive study takes the first step to fill the gap by investigating the sources of risk and predictability of corporate loan returns. We find that one loan specific characteristic, momentum, and one covariance-based characteristic, default beta, explain the cross-section of loan expected returns. The final chapter first introduces a measure of model uncertainty regarding the future return distribution of the U.S. stock market and then examines the pricing of model uncertainty in the cross-section of stock returns.
Essays In Cross Sectional Asset Pricing
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Author : Scott Hogeland Cederburg
language : en
Publisher:
Release Date : 2011
Essays In Cross Sectional Asset Pricing written by Scott Hogeland Cederburg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Risk categories.
Empirical evidence broadly supports our model's predictions, as higher dispersion, idiosyncratic volatility, and credit risk firms display lower exposure to long-run risk along with higher firm-specific risk. Lastly, in the third chapter, we examine asset-pricing anomalies at the firm level. Portfolio-level tests linking CAPM alphas to a large number of firm characteristics suggest that the CAPM fails across multiple dimensions. There are, however, concerns that underlying firm-level associations may be distorted at the portfolio level. In this paper we use a hierarchical Bayes approach to model conditional firm-level alphas as a function of firm characteristics. Our empirical results indicate that much of the portfolio-based evidence against the CAPM is overstated. Anomalies are primarily confined to small stocks, few characteristics are robustly associated with CAPM alphas out of sample, and most firm characteristics do not contain unique information about abnormal returns.
The Market Anomaly Size Effect Literature Review Key Theories And Empirical Methods
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Author : Arthur Ritter
language : en
Publisher: GRIN Verlag
Release Date : 2015-06-02
The Market Anomaly Size Effect Literature Review Key Theories And Empirical Methods written by Arthur Ritter and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-02 with Business & Economics categories.
Essay from the year 2014 in the subject Business economics - Business Management, Corporate Governance, grade: 16 (1,7), University of St Andrews (School of Management), course: Research Methods for Finance and Management, language: English, abstract: The size effect is a market anomaly in asset pricing according to the market efficiency theory. According to the current body of research, market anomalies arise either because of inefficiencies in the market or the underlying pricing model must be flawed. Anomalies in the financial markets are typically discovered form empirical tests. These tests usually rely jointly on one null hypothesis H0= markets are efficient AND they perform according to a specified equilibrium model (usually CAPM). Thus, if the empirical study rejects the H0, the reason could either be due to market inefficiency or due to the incorrect model. Market efficiency theory says that the price of an asset fully reflects all current information and is not predictable (Fama 1970). Fama (1997) states that market anomalies, even long‐term anomalies, are not an indicator for market inefficiencies due to the reason that they randomly split between “underreaction and overreaction, (so) they are consistent with market efficiency” (p. 284), they happen by chance and it is always possible to beat the market by chance. This essay will give an overview of the literature of the size effect and will stress the key theories, empirical methods and findings, as well as the existing body of research about this particular anomaly.