Essays In International Asset Pricing

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Two Essays On International Asset Pricing

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Author : Pheng Lui Chng
language : en
Publisher:
Release Date : 1998

Two Essays On International Asset Pricing written by Pheng Lui Chng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Capital assets pricing model categories.

Essays In International Asset Pricing

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Author : James Anthony Bennett
language : en
Publisher:
Release Date : 1994

Essays In International Asset Pricing written by James Anthony Bennett and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Capital assets pricing model categories.

Essays On International Asset Pricing In Partially Segmented Markets

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Author : Sundaram Janakiramanan
language : en
Publisher:
Release Date : 1986

Essays On International Asset Pricing In Partially Segmented Markets written by Sundaram Janakiramanan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with categories.

Essays On International Asset Pricing

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Author : Latha Ramchand
language : en
Publisher:
Release Date : 1993

Essays On International Asset Pricing written by Latha Ramchand and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with categories.

Essays On International Asset Pricing

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Author : René Marcel Stulz
language : en
Publisher:
Release Date : 1980

Essays On International Asset Pricing written by René Marcel Stulz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1980 with Assets (Accounting) categories.

Essays On International Asset Pricing Anomalies

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Author : Ching-Chih Lu
language : en
Publisher:
Release Date : 2005

Essays On International Asset Pricing Anomalies written by Ching-Chih Lu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Essays On International Asset Pricing

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Author : Timothy Kwing Hung Chue
language : en
Publisher:
Release Date : 1999

Essays On International Asset Pricing written by Timothy Kwing Hung Chue 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 In International Asset Pricing

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Author : Ying Wu
language : en
Publisher:
Release Date : 2013

Essays In International Asset Pricing written by Ying Wu 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.

The empirical research focuses on the common risk factors in stock returns and trading activities. The first essay is titled "Asset Pricing with Extreme Liquidity Risk". Defining extreme liquidity as the tails of illiquidity for all stocks, I propose a direct measure of market-wide extreme liquidity risk and find that extreme liquidity risk is priced cross-sectionally in the U.S. equity market. From 1973 through 2011, stocks in the highest quintile of extreme liquidity risk loadings earned value-weighted average returns 6.6% per year higher than stocks in the lowest quintile. The extreme liquidity risk premium is robust to common risk factors related to size, value and momentum. The premium is different from that on aggregate liquidity risk documented in Pástor and Stambaugh (2003) as well as that based on tail risk of Kelly (2011). Extreme liquidity estimates can offer a warning sign of extreme liquidity events. Predictive regressions show that extreme liquidity measure reliably outperforms aggregate liquidity measures in predicting future market returns. Finally, I incorporate the extreme liquidity risk into Acharya and Pedersen's (2005) framework and find new supporting evidence for their liquidity-adjusted capital asset pricing model. The second essay is co-authored with Prof. Andrew Karolyi. We have developed a multi-factor returns-generating model for an international setting that captures how restrictions on investability or accessibility can matter. The model works reasonably well in a wide variety of settings. More specifically, using monthly returns for over 37,000 stocks from 46 developed and emerging market countries over a two-decade period, we propose and test a multi-factor model that includes factor portfolios based on firm characteristics and that builds separate factors comprised of globally-accessible stocks, which we call "global factors," and of locally-accessible stocks, which we call "local factors." Our new "hybrid" multi-factor model with both global and local factors not only captures strong common variation in global stock returns, but also achieves low pricing errors and rejection rates using conventional testing procedures for a variety of regional and global test asset portfolios formed on size, value, and momentum. In the third essay, I examine the implications of the Lo and Wang (2000, 2006) mutual fund separation model in the cross-sectional behavior of global trading activity. It demonstrates that return-based factors work poorly around the world. On average across countries, market-wide turnover captures 37% of all systematic turnover components in individual stock trading, and two additional Fama and French (1993) factor turnovers increase the explanatory power by 23%. Similarly Lo and Wang's (2000) turnovers only capture on average 64% of all systematic turnover components. Using this multi-factor asset pricing-trading framework, a horserace is further performed to explore other factors in return by examining the turnover behavior of different factor mimicking portfolios. All the return-based factors capture at most 67% of the common variation in trading, suggesting that stock pricing and trading volume may not be compatible around the world. In cross-country analysis, the explanatory power of the returnbased factor model varies substantially across countries and markets, with better performance for European developed markets and China. Surprisingly, in North America, Japan and most emerging markets there are larger amounts of commonality in trading, mostly higher than 47 %, for reasons other than return motive.

Essays In International Asset Pricing

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Author :
language : en
Publisher:
Release Date : 2002

Essays In International Asset Pricing written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Capital assets pricing model categories.

Essays In International Asset Pricing And Foreign Exchange Risk

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Author : Basma Majerbi
language : en
Publisher:
Release Date : 2003

Essays In International Asset Pricing And Foreign Exchange Risk written by Basma Majerbi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Capital assets pricing model categories.

"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" --