Essays On Asset Pricing Models

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Essays On Asset Pricing Models

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Author : Minh Chau To
language : en
Publisher:
Release Date : 1983

Essays On Asset Pricing Models written by Minh Chau To and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with categories.

Three Essays On Asset Pricing Models In Discrete And Continuous Time

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Author : Kyou Yung Kim
language : en
Publisher:
Release Date : 1988

Three Essays On Asset Pricing Models In Discrete And Continuous Time written by Kyou Yung Kim and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with categories.

Four Empirical Essays On Asset Pricing Models

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Author : Edward R. Lawrence
language : en
Publisher:
Release Date : 2005

Four Empirical Essays On Asset Pricing Models written by Edward R. Lawrence 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.

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 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.

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

Three Essays On Asset Pricing

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Author : Lei Zhao
language : en
Publisher:
Release Date : 2018

Three Essays On Asset Pricing written by Lei Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with Capital assets pricing model categories.

Using more stringent test assets and more formal model diagnostic tools, the first essay demonstrates the importance of higher-order comoment risks in asset pricing by assessing the performance of the most commonly used asset pricing models with and without these risks incorporated. Specifically, we find that higher-order comoment risks help the Fama and French serial pricing kernels to be closer to the admissible pricing kernel and that the newly developed Fama and French five-factor model (Fama and French, 2015), when augmented by the quadratic and cubic terms of the market return and with momentum incorporated, requires the least adjustment to be admissible.

Essays On Asset Pricing Models

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Author : Yan Li
language : en
Publisher:
Release Date : 2009

Essays On Asset Pricing Models written by Yan Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

My dissertation contains three chapters. Chapter one proposes a nonparametric method to evaluate the performance of a conditional factor model in explaining the cross section of stock returns. There are two tests: one is based on the individual pricing error of a conditional model and the other is based on the average pricing error. Empirical results show that for valueweighted portfolios, the conditional CAPM explains none of the asset-pricing anomalies, while the conditional Fama-French three-factor model is able to account for the size effect, and it also helps to explain the value effect and the momentum effect. From a statistical point of view, a conditional model always beats a conditional one because it is closer to the true data-generating process. Chapter two proposes a general equilibrium model to study the implications of prospect theory for individual trading, security prices and trading volume. Its main finding is that different components of prospect theory make different predictions. The concavity/convexity of the value function drives a disposition effect, which in turn leads to momentum in the cross-section of stock returns and a positive correlation between returns and volumes. On the other hand, loss aversion predicts exactly the opposite, namely a reversed disposition effect and reversal in the cross-section of stock returns, as well as a negative correlation between returns and volumes. In a calibrated economy, when prospect theory preference parameters are set at the values estimated by the previous studies, our model can generate price momentum of up to 7% on an annual basis. Chapter three studies the role of aggregate dividend volatility in asset prices. In the model, narrow-framing investors are loss averse over fluctuations in the value of their financial wealth. Persistent dividend volatility indicates persistent fluctuation in their financial wealth and makes stocks undesirable. It helps to explain the salient feature of the stock market including the high mean, excess volatility, and predictability of stock returns while maintaining a low and stable risk-free rate. Consistent with the data, stock returns have a low correlation with consumption growth, and Sharpe ratios are time-varying.

Essays On Asset Pricing And Empirical Estimation

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Author : Pooya Nazeran
language : en
Publisher:
Release Date : 2011

Essays On Asset Pricing And Empirical Estimation written by Pooya Nazeran and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.

Abstract: A considerable portion of the asset pricing literature considers the demand schedule for asset prices to be perfectly elastic (flat). As argued, asset prices are determined using information about future payoff distribution, as well as the discount rate; consequently, an asset would be priced independent of its available supply. Furthermore, such a flat demand curve is considered to be a consequence of the Efficient Market Hypothesis. My dissertation evaluates and questions the factuality of these assertions. I approach this problem from both an empirical and a theoretical perspective. The general argument is that asset prices do respond to supply-shocks; and changes in aggregate demand, stemming from preference changes, new international investments, or quantitative easing by the Fed, can result in price changes. Hence, asset prices are determined by both demand and supply factors. In the first essay, "Downward Sloping Asset Demand: Evidence from the Treasury Bills Market," I report on my empirical study which establishes the existence of a downward sloping demand curve (DSDC) in the T-bill market. In the second essay, "Asset Pricing: Inelastic Supply," I examine the theoretical issues concerning a downward sloping demand curve. I begin by clarifying a common confusion in the literature, namely, that many asset pricing models imply a flat demand curve. I show that the prominent asset pricing models, including Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT) and Consumption Capital Asset Pricing Model (CCAPM), all have an underlying DSDC. I further show that, while these models imply the relevance of supply, they are inconvenient as a vehicle for the estimation and analysis of the DSDC in the data. For those purposes, I develop an asset pricing framework based on the stochastic discount factor framework, specifically designed with a DSDC at its heart. I end the essay with a discussion of the framework's implications and applications. In the third essay I develop on the Factor-Augmented Vector-Autoregression (FAVAR) literature, proposing a bias-corrected method. As implemented in the literature, the Principal Component Analysis stage of FAVAR introduces a classical-error-in-variable problem which leads to bias. I propose an instrument-based method for bias correction.

Essays On Asset Pricing

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Author : Lingxiao Zhao
language : en
Publisher:
Release Date : 2020

Essays On Asset Pricing written by Lingxiao Zhao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with Electronic dissertations categories.

In my dissertation, I focus on theoretical and empirical asset pricing from a Bayesian model comparison perspective. In the first Chapter, revisiting the framework of Barillas and Shanken (2018), BS henceforth, we show that the Bayesian marginal likelihood-based model comparison method in that paper is unsound: the priors on the nuisance parameters across models must satisfy a change of variable property for densities that is violated by the Jeffreys priors used in the BS method. Extensive simulation exercises confirm that the BS method performs unsatisfactorily. We derive a new class of improper priors on the nuisance parameters, starting from a single improper prior, which leads to valid marginal likelihoods and model comparisons. The performance of our marginal likelihoods is significantly better, allowing for reliable Bayesian work on which factors are risk factors in asset pricing models. In the second Chapter, starting from the twelve distinct risk factors in four well-established asset pricing models, a pool we refer to as the winners, we construct and compare 4,095 asset pricing models and find that the model with the risk factors, Mkt, SMB, MOM, ROE, MGMT, and PEAD, performs the best in terms of Bayesian posterior probability, out-of-sample predictability, and Sharpe ratio. A more extensive model comparison of 8,388,607 models, constructed from the twelve winners plus eleven principal components of anomalies unexplained by the winners, shows the benefit of incorporating information in genuine anomalies in explaining the cross-section of expected equity returns.