Two Essays On Asset Pricing

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Two Essays On Asset Pricing

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

Two Essays On Asset Pricing written by Dan Luo and has been published by Open Dissertation Press 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

Two Essays On Asset Pricing

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Author : 罗丹
language : en
Publisher:
Release Date : 2012

Two Essays On Asset Pricing written by 罗丹 and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital assets pricing model categories.

Two Essays On Asset Pricing

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Author : Dan Luo (Ph. D.)
language : en
Publisher:
Release Date : 2012

Two Essays On Asset Pricing written by Dan Luo (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital assets pricing model 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.

Two Essays On Asset Pricing And Options Market

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Author : Huimin Zhao
language : en
Publisher: Open Dissertation Press
Release Date : 2017-01-27

Two Essays On Asset Pricing And Options Market written by Huimin Zhao and has been published by Open Dissertation Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-27 with categories.

This dissertation, "Two Essays on Asset Pricing and Options Market" by Huimin, Zhao, 趙慧敏, 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. DOI: 10.5353/th_b4150839 Subjects: Options (Finance) Capital assets pricing model

Two Essays On Asset Pricing And Options Market

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Author : Huimin Zhao (Ph. D.)
language : en
Publisher:
Release Date : 2008

Two Essays On Asset Pricing And Options Market written by Huimin Zhao (Ph. D.) and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Capital assets pricing model categories.

Two Essays In Asset Pricing

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Author : Jangwook Lee
language : en
Publisher:
Release Date : 2017

Two Essays In Asset Pricing written by Jangwook Lee 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.

Two Essays On Asset Pricing

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Author : Jianhua Yuan
language : en
Publisher:
Release Date : 2012

Two Essays On Asset Pricing written by Jianhua Yuan 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.

Two Essays On Asset Pricing

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Author : Jun Xu
language : en
Publisher:
Release Date : 2011

Two Essays On Asset Pricing written by Jun Xu 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.

Essay One: A New Estimate of BetaThis essay examines a new method of estimating systematic risk, or "beta". Due to market imperfection, stock prices, especially those of small firms, do not move with the market index synchronously. Because of nonsynchronous or delayed reaction in price for small firms, the traditional beta estimated from the market model may not be a true reflection of systematic risk. In other words, since stock prices do not fully respond to the market in a single period, the contemporary beta may only reflect the partial systematic risk. As a result, the beta estimated from the market model is underestimated for small firms and overestimated for large firms. The same problem also causes betas estimated from the market model to vary greatly across different estimation horizons. I develop a model of delay/lead price reactions for small/large firms. Based on this model I derive a multiple-period regression equation for the new estimation of beta.^We then estimate the equation for each of the ten size-ranked decile portfolios at different estimation horizons, using monthly, weekly and daily returns. Betas estimated from the optimal estimation horizons for monthly, weekly, and daily returns are discussed. Our results show that, betas estimated at similar horizons, using monthly, weekly, and daily returns, are consistent with each other. Betas estimated for the ten size-decile portfolios from monthly, weekly, and daily average returns are positively related to those returns, respectively. Essay Two: Test of Capital Asset Pricing Model Based on a New Estimate of BetaThis essay tests the Capital Asset Pricing Model (CAPM), based on a new estimate of beta. The test methodology follows the classic Fama-MacBeth (1973) approach, using updated data from 1926-2010.^I ran each test on eleven different periods based on three different estimates of beta: the Ordinary Least Square (OLS) beta, the Scholes-Williams (1977) beta, and a new estimate of beta. From three long testing periods, 1935-1968, 1969-2010, and 1935-2010, all three hypotheses are confirmed based on the new estimate of beta. In other words there is a positive trade-off between average return and risk, and non-linearity and non-beta risk do not play a significant role in explaining the cross section of expected return. Test results from the three long periods based on the OLS beta and the Scholes-Williams beta are mixed and less supportive to CAPM. Our test results from the eight shorter periods do not confirm the CAPM. However, this may be due to the lack of power and efficiency of the test methodology when applied to short periods.^Overall, our results from long periods show that tests based on the new estimate of beta perform better than those based on the OLS beta and the Scholes-Williams beta in terms of supporting CAPM.

Two Essays On Asset Pricing

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Author : Xiaofei Zhao
language : en
Publisher:
Release Date : 2013

Two Essays On Asset Pricing written by Xiaofei Zhao 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.