Essays On Asset Pricing And Financial Institutions
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Essays On Asset Pricing And Financial Institutions
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Author : Patrick Christian Kiefer
language : en
Publisher:
Release Date : 2018
Essays On Asset Pricing And Financial Institutions written by Patrick Christian Kiefer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
Forecasts of risk prices at alternative time scales can be used to consolidate history dependence in asset return time series. The resulting Markovian structure identifies a martingale component in the latent transition dynamics. I apply the model to U.S. stock markets and find the concentration of return volatility on the martingale component - the spectral gap - is countercyclical, and predicts annual market returns out-of-sample (o.o.s.) with an R-squared of 10.8%. Value (HML) predictability is concave and front-heavy, peaking at a one-year 14.7% o.o.s. R-squared. In contrast, the momentum predictability term structure is convex, insignificant on the short end, but accelerates to 31.4% o.o.s. R-squared at the three-year horizon. I form timing portfolios to investigate the risk content of the aggregate forecasts. Incremental gains from timing value are compensation for bearing systematic shocks to time-varying expected returns. Exposure to the market timing portfolio is cross-sectionally priced, while gains from timing size (SMB) are not. The findings provide new restrictions for parametric asset pricing theories. Incomplete human capital markets induce unexpected rebalancing costs that are mitigated by a bank. Ex-ante, the bank exchanges risky endowments for demandable liabilities. An ex-post withdrawal corresponds to exercising a put option on the market, used to resolve an unexpected portfolio choice problem. Portfolio choice opens a risk aversion channel that distinguishes our predictions from Diamond and Dybvig (1983) and related models. In these models, deposits resolve consumption-timing tensions by accommodating the investor's intertemporal elasticity of substitution (IES). The inclusion of risk-based incentives allow us to characterize the endogenous link between the intermediary balance sheet and the preference-based pricing kernel. Moreover, ex-post rebalancing incentives relax enforcement problems for ex-ante optimal policies in incomplete markets. This provides a justification for the coexistence of intermediation and market institutions.
Essays On Financial Institutions And Asset Pricing
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Author : Lei Xie
language : en
Publisher:
Release Date : 2013
Essays On Financial Institutions And Asset Pricing written by Lei Xie 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.
Essays On International Portfolio Choice And Asset Pricing Under Financial Contagion
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Author : Zhenzhen Fan
language : en
Publisher:
Release Date : 2017
Essays On International Portfolio Choice And Asset Pricing Under Financial Contagion written by Zhenzhen Fan 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.
"The 2008 financial crisis has witnessed prices of assets traded on different exchange markets, of various asset classes, from different geographical locations plunge simultaneously or in close succession, causing serious problems for banks, insurance companies, and other financial institutions. It calls for models that account for the unconventional dependence structure of asset prices beyond the classical paradigm. The class of mutually exciting jump-diffusion processes is a promising workhorse for modeling financial contagion in continuous-time finance. The class provides a parsimonious model of jump propagation, allowing for cross-sectional asymmetry and serial dependence through time: a jump that takes place in one asset market today leads to a higher probability of experiencing future jumps in the same market as well as in other markets around the world. This thesis tries to reconsider some of the classical problems in finance, most noticeably asset pricing, portfolio choice, hedging, and valuation, in the presence of contagion. We show that many investment and risk management implications and market efficiency conditions derived from classical models are no longer valid in the context of financial contagion."--Samenvatting auteur.
Essays On Asset Pricing And Financial Regulation
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Author : Hormoz Ramian
language : en
Publisher:
Release Date : 2021
Essays On Asset Pricing And Financial Regulation written by Hormoz Ramian 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.
Three Essays On Empirical Asset Pricing In International Equity Markets
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Author : Birgit Charlotte Müller
language : de
Publisher: Springer Gabler
Release Date : 2021-08-20
Three Essays On Empirical Asset Pricing In International Equity Markets written by Birgit Charlotte Müller and has been published by Springer Gabler this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-20 with Business & Economics categories.
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
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.
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.
Essays On Asset Pricing In The Financial Crisis
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Author : Zoe Tsesmelidakis
language : en
Publisher:
Release Date : 2012
Essays On Asset Pricing In The Financial Crisis written by Zoe Tsesmelidakis 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 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.
Theory And Reality In Financial Economics
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Author : George M. Frankfurter
language : en
Publisher: World Scientific
Release Date : 2007
Theory And Reality In Financial Economics written by George M. Frankfurter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.