Essays In Technology Diffusion And Asset Pricing

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Essays In Technology Diffusion And Asset Pricing

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Author : Ziemowit Konrad Bednarek
language : en
Publisher:
Release Date : 2000

Essays In Technology Diffusion And Asset Pricing written by Ziemowit Konrad Bednarek and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Essays In Technology And Asset Pricing

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Author : Po-Hsuan Hsu
language : en
Publisher:
Release Date : 2007

Essays In Technology And Asset Pricing written by Po-Hsuan Hsu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.

Essays On Asset Pricing

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Author : Gerard Ivan Gennotte
language : en
Publisher:
Release Date : 1985

Essays On Asset Pricing written by Gerard Ivan Gennotte and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with categories.

Essays In Asset Pricing And Market Imperfections

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Author : Weiyang Qiu (Ph. D.)
language : en
Publisher:
Release Date : 2010

Essays In Asset Pricing And Market Imperfections written by Weiyang Qiu (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.

(cont.) The third part of the thesis studies asset pricing under heterogeneous information. In an asset market where agents have heterogeneous information, asset prices not only depend their expectations of the true fundamentals but also depend on their expectations of the expectations of others. Iterations of such expectations lead to the so-called "infinite regress" problem, which makes the analysis of asset pricing under heterogeneous information challenging. In this part, we solve the infinite-regress problem in a simple economic setting under a fairly general information structure. This allows us to examine how different forms of information heterogeneity impacts the behavior of asset prices, their return dynamics, trading volume as well as agents' welfare.

Essays On Asset Pricing In Production Economies

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Author : Andrew Yeh-Chi Chen
language : en
Publisher:
Release Date : 2014

Essays On Asset Pricing In Production Economies written by Andrew Yeh-Chi Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.

Chapter 3 examines general restrictions on production technologies implied by asset prices. It shows that representative firm models which are consistent with asset price data require either large capital adjustment costs, or volatile investment-specific technology shocks. These restrictions hold regardless of preferences, beliefs, operating leverage, or the completeness of asset markets. The restrictions summarize the sense in which asset prices are anomalous with respect to the theory of optimal investment.

Essays On Banking Asset Pricing And Learning

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Author : Martin Schneider (Professor of economics)
language : en
Publisher:
Release Date : 1999

Essays On Banking Asset Pricing And Learning written by Martin Schneider (Professor of economics) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 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

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Author : Wei Huang
language : en
Publisher:
Release Date : 2001

Essays On International Asset Pricing written by Wei Huang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Capital market categories.

Two Essays On Asset Pricing

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Author : Dan Luo
language : en
Publisher:
Release Date : 2017-01-26

Two Essays On Asset Pricing written by Dan Luo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-26 with categories.

This dissertation, "Two Essays on Asset Pricing" by Dan, Luo, 罗丹, 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. Abstract: This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives. The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments have been reasonably priced and integrated within the financial market generally, both before and during the financial crisis. We first design a procedure to value CDO tranches using an intensity-based model which falls into the affine model class. The CDX tranche spreads are efficiently explained by a three-factor version of this model, before and during the crisis period. We then construct tradable CDX tranche portfolios, representing the three default intensity factors. These portfolios capture the same exposure as the S&P 500 index optionmarket, to a market crash. We regress these CDX factors against the underlying index, the volatility factor, and the smirk factor, extracted from the index option returns, and against the Fama-French market, size and book-to-market factors. We finally argue that the CDX spreads are integrated in the financial market, and their issuers have not made excess returns. The second essay explores the specifications of jumps for modeling stock price dynamics and cross-sectional option prices. We exploit a long sample of about 16 years of S&P500 returns and option prices for model estimation. We explicitly impose the time-series consistency when jointly fitting the return and option series. We specify a separate jump intensity process which affords a distinct source of uncertainty and persistence level from the volatility process. Our overall conclusion is that simultaneous jumps in return and volatility are helpful in fitting the return, volatility and jump intensity time series, while time-varying jump intensities improve the cross-section fit of the option prices. In the formulation with time-varying jump intensity, both the mean jump size and standard deviation of jump size premia are strengthened. Our MCMC approach to estimate the models is appropriate, because it has been found to be powerful by other authors, and it is suitable for dealing with jumps. To the best of our knowledge, our study provides the the most comprehensive application of the MCMC technique to option pricing in affine jump-diffusion models. DOI: 10.5353/th_b4819935 Subjects: Capital assets pricing model

Essays In Asset Pricing

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Author : Pierre Jacques Jaffard
language : en
Publisher:
Release Date : 2022

Essays In Asset Pricing written by Pierre Jacques Jaffard 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 Thesis is devoted to better understand market dynamics and asset pricing anomalies. In Chapter 1, which is co-authored with Andrea Hamaui, we study the effect of investors' market expectations on asset pricing. Given traditional stock returns factor modelling and the prominence of the market factor, beliefs about market returns represent a natural primitive for expectations of stock prices. As the desire to increase market exposure generates excess demand for high beta assets from constrained investors, we connect mutual funds' expectations to the beta (or low vol) anomaly. We show that the beta anomaly is particularly strong for stocks purchased by over-optimistic mutual funds. On the empirical side, we first introduce a mutual fund-level measure of market expectations and confirm the model's predictions for asset prices. In Chapter 2, which is co-authored with Andrea Hamaui, we study mutual funds' trading behavior. In particular, we introduce the concept of "core" vs "satellite" holdings and we characterize positions depending on their longevity and interim return in a fund's portfolio. We show that core positions are relatively protected from selling in times of distress, as managers consolidate their portfolio. Next, we show that this theory has implications for asset prices and liquidity: core positions incur less downward contemporaneous price pressure as a result of outflows and are relatively more liquid. A behavioral model rationalizes those findings and validates the use of interim return and longevity as proxies for the "coreness" of a position. In Chapter 3, I develop a three-period asset pricing model with heterogeneity in firms' size and a government that introduces a policy distortion. I find that large firms can better hedge the political uncertainty associated with this policy change through lobbying, which leads them to earn lower expected returns. I provide two strands of empirical evidence consistent with the model predictions. The first one looks at the behavior of a blue versus red industries around the unexpected results of the 2016 US Presidential election. The second one forms a political risk factor using a matching procedure, and shows that lobbying is indeed associated with a lower exposure to this factor.