Three Essays On Empirical Asset Pricing
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Three Essays In Empirical Asset Pricing
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Author : Shanshan Qu
language : en
Publisher:
Release Date : 2021
Three Essays In Empirical Asset Pricing written by Shanshan Qu 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 In Empirical Asset Pricing
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Author : Alessio Alberto Saretto
language : en
Publisher:
Release Date : 2006
Three Essays In Empirical Asset Pricing written by Alessio Alberto Saretto and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Bonds categories.
Three Essays On Empirical Asset Pricing
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Author : Xiaoyan Zhang
language : en
Publisher:
Release Date : 2002
Three Essays On Empirical Asset Pricing written by Xiaoyan Zhang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
Three Essays On Empirical Asset Pricing
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Author : Rui Zhao
language : en
Publisher:
Release Date : 2007
Three Essays On Empirical Asset Pricing written by Rui Zhao 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.
This dissertation contains three chapters.
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 Empirical Asset Pricing And Systematic Ambiguity
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Author :
language : en
Publisher:
Release Date : 2013
Three Essays On Empirical Asset Pricing And Systematic Ambiguity written by 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.
Three Essays In Empirical Asset Pricing
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Author : Maximilian Overkott
language : en
Publisher:
Release Date : 2017
Three Essays In Empirical Asset Pricing written by Maximilian Overkott 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.
Three Essays On Empirical Asset Pricing
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Author :
language : en
Publisher:
Release Date : 2008
Three Essays On Empirical 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 2008 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.
Three Essays In Empirical Asset Pricing
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Author : Stephen Szaura
language : en
Publisher:
Release Date : 2021
Three Essays In Empirical Asset Pricing written by Stephen Szaura 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.
"This thesis comprises three essays in empirical asset pricing. My first essay entitled "Are stock and corporate bond markets integrated? A Big Data Approach" I document the existence a growing Factor Zoo of discovered characteristics and factors that predict the cross-section of corporate bond returns and generate a significant high minus low portfolio alpha. I determine a higher statistical benchmark, by accounting for those characteristics and factors that have been discovered in published and working papers and find that in cross-sectional regressions and portfolio sorts of over a hundred characteristics and factors, on average 2.4% predict the cross-section of corporate bond returns when adjusting for higher benchmarks. A multivariate horse-race of all characteristics and factors in cross-sectional regressions finds a higher number of corporate bond, rather than stock, characteristics and factors that predict the cross-section of corporate bond returns when adjusting for higher benchmarks. In addition to the lower number of corporate bond characteristics and factors that predict the cross-section of stock returns, my results show that the stock and corporate bond markets are more segmented than previously documented.My second essay is based on a joint working paper entitled "Do Option Implied Measures of Stock Mispricing Find Investment Opportunities or Market Frictions" where we find that existing option implied stock mis-pricing measures, the portfolios identified as being the most mispriced (highest quintile), typically have the highest shorting fee. When those stocks are omitted, the average abnormal returns of the long-short stock portfolios are insignificant or greatly reduced in economic magnitude. We propose a new measure, IPD, using a novel intra-day options trades data set, circumvents this and does not require shorting hard to borrow firms.My third essay is based on a joint working paper entitled "Accounting Transparency and the Implied Volatility Skew". We show theoretically and empirically that firms with higher accounting transparency have an implied volatility smirk that is more sensitive to leverage (vice versa). The more clear the accounting information the more skewed the implied volatility smirk. Our theoretical predictions rely on extending the Duffie and Lando [2001] credit risk model to stock option pricing whereby incomplete accounting information and the risk of bankruptcy together act as an economic source of jump risk for stocks. Empirical tests confirm the theoretical predictions of the model and the model can be solved in closed form solution up to Bivariate Standard Normal Cumulative Distribution Function"--