Essays In Empirical Asset Pricing And Consumption Portfolio Choice
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Essays In Empirical Asset Pricing And Consumption Portfolio Choice
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Author : Farina Weiss
language : en
Publisher:
Release Date : 2017
Essays In Empirical Asset Pricing And Consumption Portfolio Choice written by Farina Weiss and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Two Essays In Empirical Asset Pricing
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Author : Flavio Nardi
language : en
Publisher:
Release Date : 2017
Two Essays In Empirical Asset Pricing written by Flavio Nardi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This thesis includes two research papers in the area of empirical asset pricing. In the first research paper titled "Option implied moments and risk aversion", under reasonable assumptions, I provide empirical evidence that index options implied higher moments can predict the index returns and Sharpe ratio. Specifically, I present a method to recover option implied subjective moments of the S &P500 index under the assumption of no arbitrage and logarithmic utility. This result adds further evidence to the extensive finance literature that claims that market returns are predictable. In the second research paper titled "Expected returns: systematic risk or firm characteristics" I provide empirical evidence that expected returns can be viewed as determined by the exposure of firm returns to systematic factors that are based on firm characteristics, and not directly to the cross--sectional differences in the firm characteristics. This result addresses an ongoing debate within the empirical asset pricing literature as to whether the cross--section of expected returns is "explained" by the loadings to systematic factors or by differences in firm characteristics. The evidence I provide supports the loading to systematic factors story, consistent with the consumption asset pricing model.
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance
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Author : Ehud Peleg
language : en
Publisher: ProQuest
Release Date : 2008
Three Essays On Asset Pricing Portfolio Choice And Behavioral Finance written by Ehud Peleg and has been published by ProQuest this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.
Two Essays On Asset Pricing And Asset Choice
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Author : James Eric Gunderson
language : en
Publisher:
Release Date : 2004
Two Essays On Asset Pricing And Asset Choice written by James Eric Gunderson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
Three Essays In Empirical Asset Pricing
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Author : Alessio Alberto Saretto
language : en
Publisher:
Release Date : 2006
Three Essays In Empirical Asset Pricing written by Alessio Alberto Saretto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Bonds categories.
Essays In Empirical Asset Pricing And Portfolio Construction
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Author : Michael Ashby
language : en
Publisher:
Release Date : 2020
Essays In Empirical Asset Pricing And Portfolio Construction written by Michael Ashby and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
Essays In Empirical Corporate Finance And Portfolio Choice
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Author : Andrij Bodnaruk
language : en
Publisher:
Release Date : 2005
Essays In Empirical Corporate Finance And Portfolio Choice written by Andrij Bodnaruk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Going public (Securities) categories.
Essays On Asset Pricing And Portfolio Choice
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Author : Benjamin Jonen
language : en
Publisher:
Release Date : 2012
Essays On Asset Pricing And Portfolio Choice written by Benjamin Jonen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Essays On Consumption And Asset Pricing Puzzles
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Author :
language : en
Publisher:
Release Date :
Essays On Consumption And Asset Pricing Puzzles written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
This thesis contributes to the literature on the consumption-portfolio choice under uncertainty and is motivated by several empirical failures of the standard consumption-based capital asset pricing model (CCAPM). This canonical model has proven disappointing empirically and has even been questioned whether it is theoretically valuable and practically useful even if it is in some sense the only model we have. The frustration is due to that the model performs no better in practice and generates some well-known consumption puzzles and asset pricing puzzles. The purpose of the thesis is to reexamine these puzzles and then to resolve them. After the debate of Hansen and Singleton (1983) and Hall (1988), the estimates of the elasticity of intertemporal substitution (EIS) of consumption in a representative agent model have not resulted in any consensus. Based on this observation, the first chapter of this thesis is focused on resolving the elasticity puzzle or the unresponsiveness to interest rates. We propose a new theoretical and empirical perspective on the relationship between consumption growth and asset returns. In the spirit of Hansen and Singleton (1983), we demonstrate that observed growth rate of consumption responds not only to a specific asset return but also to other asset returns. Empirically, US postwar quarterly data are used to fit the regression model derived in the chapter, and the sample period is 1953Q2-2001Q2. Empirical results show that the EIS is greater than 0.1, the maximum value considered possible by Hall (1988). Accordingly, we argue that there is no elasticity puzzle in the standard representative agent model. The second chapter provides an explanation for the puzzle of excess sensitivity of consumption to expected income proposed by Flavin (1981). We exploit consumer's superior information (i.e., windfalls in investments and in income) to integrate the consumption Euler equations into a generalized Euler equation. The implications emerging f.
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"--