Essays On Asset Pricing

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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.

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 : 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.

Essays On Asset Pricing And The Horizon Effect

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Author : Chenglu Jin
language : en
Publisher:
Release Date : 2018

Essays On Asset Pricing And The Horizon Effect written by Chenglu Jin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Assets (Accounting) 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.

Essays On Asset Pricing

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Author : Ching Tai Watson
language : en
Publisher:
Release Date : 2004

Essays On Asset Pricing written by Ching Tai Watson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Asset pricing categories.

Essays In Asset Pricing Theory

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Author : Alexandre Miguel de Oliveira dos Santos Baptista
language : en
Publisher:
Release Date : 2001

Essays In Asset Pricing Theory written by Alexandre Miguel de Oliveira dos Santos Baptista and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.

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 Asset Pricing Model With Heterogenous Agents

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Author : Tae-Jin Kang
language : en
Publisher:
Release Date : 1991

Three Essays On Asset Pricing Model With Heterogenous Agents written by Tae-Jin Kang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.

Essays On Asset Pricing In Credit Markets

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Author : Frederic A. Schweikhard
language : en
Publisher:
Release Date : 2012

Essays On Asset Pricing In Credit Markets written by Frederic A. Schweikhard 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.