Essays In Computation Based Asset Pricing

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Essays In Computation Based Asset Pricing

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Author : Michal Pakoš
language : en
Publisher:
Release Date : 2005

Essays In Computation Based Asset Pricing written by Michal Pakoš and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Assets (Accounting) categories.

Essays In Consumption Based Asset Pricing Models

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Author : Hugo Alejandro Garduño Arredondo
language : en
Publisher:
Release Date : 2008

Essays In Consumption Based Asset Pricing Models written by Hugo Alejandro Garduño Arredondo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Investments categories.

Essays In Information Based Asset Pricing

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Author : Michael Hasler
language : en
Publisher:
Release Date : 2013

Essays In Information Based Asset Pricing written by Michael Hasler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.

Selected Essays In Empirical Asset Pricing

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Author : Christian Funke
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-09-15

Selected Essays In Empirical Asset Pricing written by Christian Funke and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-09-15 with Business & Economics categories.

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.

Two Essays In Production Based Asset Pricing

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Author : Robert B. Porter
language : en
Publisher:
Release Date : 1999

Two Essays In Production Based Asset Pricing written by Robert B. Porter and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Assets (Accounting) categories.

Essays On Asset Pricing Models

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Author : Minh Chau To
language : en
Publisher:
Release Date : 1983

Essays On Asset Pricing Models written by Minh Chau To and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with categories.

Essays On Production Based Asset Pricing

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Author : Yifan Zhu
language : en
Publisher:
Release Date : 2022

Essays On Production Based Asset Pricing written by Yifan Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with Operating leverage categories.

This dissertation consists of two essays on production-based asset pricing. The first essay studies the asset pricing implications of investment and disinvestment op- tions with a production-based model featuring costly reversibility. Investment options are contingent claims on assets in place so that they are riskier and earn higher expected re- turns. Disinvestment options with costly reversibility reduce exposure to aggregate risks amid deteriorating business conditions and lower expected returns on a firm. The inextri- cable link between investment options and disinvestment options explains the coexistence of the profitability premium and the value premium while retains a positive relation between profitability and market valuation ratios. My model also generates a procyclical profitability premium and a countercyclical value premium. In the second essay, my co-authors and I investigate the joint asset pricing effects of variable costs and fixed costs in a firm’s production process. While the latter such as SG&A expenses create an operating leverage effect, the variable costs allow firms to hedge against aggregate profitability shocks. Taking into account both types of production costs explains the empir- ical patterns in the cross-section asset returns in portfolios sorted by the gross profitability and operating leverage. Our model reconciles the seemingly contradictory phenomena that higher productivity firms earn lower returns ( ̇Imrohoro ̆glu and T ̈uzel (2014)), whereas more profitable, often more productive, firms earn higher returns (Novy-Marx (2013)). It also of- fers a novel explanation for the negative idiosyncratic volatility premium (Ang et al. (2006)) based on production costs.

Essays In Asset Pricing

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Author : Aytek Malkhozov
language : en
Publisher:
Release Date : 2011

Essays In Asset Pricing written by Aytek Malkhozov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Academic theses categories.

Two Essays On Asset Pricing And Options Market

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Author : Huimin Zhao
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-27

Two Essays On Asset Pricing And Options Market written by Huimin Zhao and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.

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

Essays On Volatility Risk Asset Returns And Consumption Based Asset Pricing

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Author : Young Il Kim
language : en
Publisher:
Release Date : 2008

Essays On Volatility Risk Asset Returns And Consumption Based Asset Pricing written by Young Il Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Assets (Accounting) categories.

Abstract: My dissertation addresses two main issues regarding asset returns: econometric modeling of asset returns in chapters 2 and 3 and puzzling features of the standard consumption-based asset pricing model (C-CAPM) in chapters 4 and 5. Chapter 2 develops a new theoretical derivation for the GARCH-skew-t model as a mixture distribution of normal and inverted-chi-square in order to represent the three important stylized facts of financial data: volatility clustering, skewness and thick-tails. The GARCH-skew-t is same as the GARCH-t model if the skewness parameter is shut-off. The GARCH-skew-t is applied to U.S. excess stock market returns, and the equity premium is computed based on the estimated model. It is shown that skewness and kurtosis can have significant effect on the equity premium and that with sufficiently negatively skewed distribution of the excess returns, a finite equity premium can be assured, contrary to the case of the Student t in which an infinite equity premium arises. Chapter 3 provides a new empirical guidance for modeling a skewed and thick-tailed error distribution along with GARCH effects based on the theoretical derivation for the GARCH-skew-t model and empirical findings on the Realized Volatility (RV) measure, constructed from the summation of higher frequency squared (demeaned) returns. Based on an 80-year sample of U.S. daily stock market returns, it is found that the distribution of monthly RV conditional on past returns is approximately the inverted-chi-square while monthly market returns, conditional on RV and past returns are normally distributed with RV in both mean and variance. These empirical findings serve as the building blocks underlying the GARCH-skew-t model. Thus, the findings provide a new empirical justification for the GARCH-skew-t modeling of equity returns. Moreover, the implied GARCH-skew-t model accurately represents the three important stylized facts for equity returns. Chapter 4 provides a possible solution to asset return puzzles such as high equity premium and low riskfree rate based on parameter uncertainty. It is shown that parameter uncertainty underlying the data generating process can lead to a negatively skewed and thick-tailed distribution that can explain most of the high equity premium and low riskfree rate even with the degree of risk aversion below 10 in the CRRA utility function. Chapter 5 investigates a possible link between stock market volatility and macroeconomic risk. This chapter studies why U.S. stock market volatility has not changed much during the "great moderation" era of the 1980s in contrast to the prediction made by the standard C-CAPM. A new model is developed such that aggregate consumption is decomposed into stock and non-stock source of income so that stock dividends are a small part of consumption. This new model predicts that the great moderation of macroeconomic risk must have originated from declining volatility of shocks to the relatively large non-stock factor of production while shocks to the relatively small stock assets have been persistently volatile during the moderation era. Furthermore, the model shows that the systematic risk of holding equity is positively associated with the stock share of total wealth.