Two Essays On The Theory And The Econometrics Of Finance
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Two Essays On The Theory And The Econometrics Of Finance
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Author : Guillermo Moloche
language : en
Publisher:
Release Date : 2013
Two Essays On The Theory And The Econometrics Of Finance written by Guillermo Moloche 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.
This thesis contains two independent chapters, the first on financial econometrics and the second on financial economics.
Essays In Financial Economics
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Author : Olexandr Gorbenko
language : en
Publisher:
Release Date : 2010
Essays In Financial Economics written by Olexandr Gorbenko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
This thesis consists of three essays that apply game theory, theory and structural econometrics of auctions, and dynamic programming to study problems in two areas of corporate finance and market design: Dynamic theory of the firm and financial auctions. In the first essay (co-authored with Ilya A. Strebulaev), we investigate corporate financial policies in the presence of both temporary and permanent shocks to firms' cash flows. In our framework cash flows can be negative and are imperfectly correlated with firm value, and earnings volatility differs from asset volatility. These results are consistent with empirical stylized facts. They are also contrary to the implications of existing dynamic capital structure models that allow only for permanent shocks to cash flows. Temporary shocks increase the importance of financial flexibility and may provide an intuitively simple and realistic explanation of empirically observed financial conservatism and low leverage phenomena. The theoretical framework developed in this paper is general enough to be used in various corporate finance applications. In the second essay (co-authored with Andrey MalenkoSPAN class=skype_name_highlight_online title=amalenko height="12px" width="15px" SPAN class=skype_name_mark begin_of_the_skype_highlighting SPAN class=skype_name_mark end_of_the_skype_highlighting ), we study simultaneous security-bid second-price auctions with competition among sellers for potential bidders. The sellers compete by designing ordered sets of securities that the bidders can offer as payment for the assets. Upon observing auction designs, potential bidders decide which auctions to enter. We characterize all symmetric equilibria and show that there always exist equilibria in standard securities or their combinations. In large markets the unique equilibrium is auctions in pure cash. We extend the model for competition in reserve prices and show that binding reserve prices never constitute equilibrium as long as equilibrium security designs are not call options. To study how the market for takeovers operates, it is critical to understand how different potential acquirers shape their valuations, or maximum willingness to pay, for targets. In the third essay (co-authored with Andrey Malenko), we propose a structural model of a takeover auction that allows for asymmetries between strategic and financial bidders. Using a hand-collected data on the number of competing bidders, their types and bids, we estimate the model to recover valuations of participating strategic and financial bidders. Our approach helps overcome the sample selection problem that arises if takeover premia are simply interpreted as average bidder valuations. The results suggest that there are substantial differences between strategic and financial bidders along many dimensions. In particular, strategic and financial bidders value targets with different observable characteristics, and strategic bidders are considerably more heterogeneous than financial bidders. While average valuations of strategic bidders are higher than those of financial bidders, the higher takeover premiums that they pay are mainly driven by their greater heterogeneity. We extend the model to incorporate endogenous participation decisions, and show that strategic bidders appear to have considerably higher average participation costs than financial bidders, especially so if the target is highly valued by them or operates in a hi-tech industry.
Two Essays In Financial Economics
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Author : Evan Jo
language : en
Publisher:
Release Date : 2022
Two Essays In Financial Economics written by Evan Jo and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
"This thesis focuses on the economics of risk: it studies how to measure, price, and trade risk in financial markets. The first paper "Sharper Alpha" aims to provide a better econometric tool for measuring and studying risk premia. Traditional alpha-based tests face substantial estimation noise when applied to individual stocks. The standard approach of forming diversified portfolios reduces this noise, but also incurs the costs of aggregation errors and information loss. I propose a more efficient statistic, a sharper alpha, that directly reduces estimation noise for single stocks. I find that sharper alphas reveal stock-level patterns that were not visible before. In the second paper "A Supply and Demand Approach to Equity Pricing", joint with Sebastien Betermier and Laurent Calvet, we provide a new theoretical framework to analyze how the general equilibrium relation between risk and return is driven by both supply and demand for risky financial capital. The mantra of "high risk high return" in finance takes the point of view of investors, who require higher expected returns to supply more risky capital. Firms, on the other hand, require lower discount rates to demand more risky capital. We explain how the heterogeneity of supply and demand factors determine whether the risk-return relation is positive or negative, consistent with the empirical evidence and a wide range of asset pricing anomalies. We empirically estimate the supply and demand schedules of individual firms using three-stage-least-squares, and show that the risk-return relation is mainly driven by firm demand factors"--
On Money Method And Keynes
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Author : Philip Arestis
language : en
Publisher: Springer
Release Date : 1992-03-03
On Money Method And Keynes written by Philip Arestis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992-03-03 with Business & Economics categories.
In these twelve essays, spanning fifteen years, Victoria Chick develops a distinctive view of macroeconomics (especially the economics of Keynes) and monetary theory. By careful and rigorous analysis in which nothing is taken for granted, she uncovers the implicit assumptions of economic theory and argues, in a variety of contexts, that differences of economic method and the influence of the stylised facts are decisive forces, both in the construction of theories and in appraising their contemporary relevance.
Economic Theory And Financial Policy
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Author : Jacques Jacobus Polak
language : en
Publisher: Edward Elgar Publishing
Release Date : 1994
Economic Theory And Financial Policy written by Jacques Jacobus Polak and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Business & Economics categories.
This two-volume set brings together Polak's papers over the last 50 years in the fields of economics, econometrics and finance. The collection begins with his work on international and national business cycles, problems of international trade and balance of payments adjustment. Later sections examine exhange rates and their effect on the balance of payments, inflation and hyperinflation; the monetary approach to the balance of payments, a subject which the author pioneered in the International Monetary Fund; and international liquidity, with reference to the special drawing right.
Three Essays In International Finance And Econometrics
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Author : Chien Nan Wang
language : en
Publisher:
Release Date : 1987
Three Essays In International Finance And Econometrics written by Chien Nan Wang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Econometrics categories.
Two Essays In Financial Econometrics
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Author : Yang Yu
language : en
Publisher:
Release Date : 2013
Two Essays In Financial Econometrics written by Yang Yu 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 In Financial Econometrics Asset Pricing And Corporate Finance
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Author : Markus Pelger
language : en
Publisher:
Release Date : 2015
Essays In Financial Econometrics Asset Pricing And Corporate Finance written by Markus Pelger and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
My dissertation explores how tail risk and systematic risk affects various aspects of risk management and asset pricing. My research contributions are in econometric and statistical theory, in finance theory and empirical data analysis. In Chapter 1 I develop the statistical inferential theory for high-frequency factor modeling. In Chapter 2 I apply these methods in an extensive empirical study. In Chapter 3 I analyze the effect of jumps on asset pricing in arbitrage-free markets. Chapter 4 develops a general structural credit risk model with endogenous default and tail risk and analyzes the incentive effects of contingent capital. Chapter 5 derives various evaluation models for contingent capital with tail risk. Chapter 1 develops a statistical theory to estimate an unknown factor structure based on financial high-frequency data. I derive a new estimator for the number of factors and derive consistent and asymptotically mixed-normal estimators of the loadings and factors under the assumption of a large number of cross-sectional and high-frequency observations. The estimation approach can separate factors for normal "continuous" and rare jump risk. The estimators for the loadings and factors are based on the principal component analysis of the quadratic covariation matrix. The estimator for the number of factors uses a perturbed eigenvalue ratio statistic. The results are obtained under general conditions, that allow for a very rich class of stochastic processes and for serial and cross-sectional correlation in the idiosyncratic components. Chapter 2 is an empirical application of my high-frequency factor estimation techniques. Under a large dimensional approximate factor model for asset returns, I use high-frequency data for the S & P 500 firms to estimate the latent continuous and jump factors. I estimate four very persistent continuous systematic factors for 2007 to 2012 and three from 2003 to 2006. These four continuous factors can be approximated very well by a market, an oil, a finance and an electricity portfolio. The value, size and momentum factors play no significant role in explaining these factors. For the time period 2003 to 2006 the finance factor seems to disappear. There exists only one persistent jump factor, namely a market jump factor. Using implied volatilities from option price data, I analyze the systematic factor structure of the volatilities. There is only one persistent market volatility factor, while during the financial crisis an additional temporary banking volatility factor appears. Based on the estimated factors, I can decompose the leverage effect, i.e. the correlation of the asset return with its volatility, into a systematic and an idiosyncratic component. The negative leverage effect is mainly driven by the systematic component, while it can be non-existent for idiosyncratic risk. In Chapter 3 I analyze the effect of jumps on asset pricing in arbitrage-free markets and I show that jumps have to come as a surprise in an arbitrage-free market. I model asset prices in the most general sensible form as special semimartingales. This approach allows me to also include jumps in the asset price process. I show that the existence of an equivalent martingale measure, which is essentially equivalent to no-arbitrage, implies that the asset prices cannot exhibit predictable jumps. Hence, in arbitrage-free markets the occurrence and the size of any jump of the asset price cannot be known before it happens. In practical applications it is basically not possible to distinguish between predictable and unpredictable discontinuities in the price process. The empirical literature has typically assumed as an identification condition that there are no predictable jumps. My result shows that this identification condition follows from the existence of an equivalent martingale measure, and hence essentially comes for free in arbitrage-free markets. Chapter 4 is joint work with Behzad Nouri, Nan Chen and Paul Glasserman. Contingent capital in the form of debt that converts to equity as a bank approaches financial distress offers a potential solution to the problem of banks that are too big to fail. This chapter studies the design of contingent convertible bonds and their incentive effects in a structural model with endogenous default, debt rollover, and tail risk in the form of downward jumps in asset value. We show that once a firm issues contingent convertibles, the shareholders' optimal bankruptcy boundary can be at one of two levels: a lower level with a lower default risk or a higher level at which default precedes conversion. An increase in the firm's total debt load can move the firm from the first regime to the second, a phenomenon we call debt-induced collapse because it is accompanied by a sharp drop in equity value. We show that setting the contractual trigger for conversion sufficiently high avoids this hazard. With this condition in place, we investigate the effect of contingent capital and debt maturity on capital structure, debt overhang, and asset substitution. We also calibrate the model to past data on the largest U.S. bank holding companies to see what impact contingent convertible debt might have had under the conditions of the financial crisis. Chapter 5 develops and compares different modeling approaches for contingent capital with tail risk, debt rollover and endogenous default. In order to apply contingent convertible capital in practice it is desirable to base the conversion on observable market prices that can constantly adjust to new information in contrast to accounting triggers. I show how to use credit spreads and the risk premium of credit default swaps to construct the conversion trigger and to evaluate the contracts under this specification.
Essays On Partial Identification In Econometrics And Finance
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Author : Alfred Galichon
language : en
Publisher:
Release Date : 2007
Essays On Partial Identification In Econometrics And Finance written by Alfred Galichon 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.
The second essay propose an alternative testing methodology with favorable computational properties, the "Dilation Bootstrap," a testing methodology based on probabilistic coupling representations of the empirical distribution.
A Tale Between Finance And Economics
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Author : Thomas Delcey
language : en
Publisher:
Release Date : 2021
A Tale Between Finance And Economics written by Thomas Delcey 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 provides a historical and methodological analysis of the efficient market hypothesis, which represents one of the theoretical pillars of financial economics, but also one of the most controversial notions in the field. This research aims to shed light on the debates about this central and ambiguous concept, whose history is characterized by the diversity of its formulations and interpretations. In this thesis, I study these formulations and the contexts in which they emerged. I analyze the evolution of this hypothesis, from its origins in the 1920s to the recent transformations of the early 1980s. I interpret the efficient market hypothesis as a bridge between financial economics and economics, that is, as a concept at the heart of the identity of financial economics, but also as the main object through which this sub-discipline dialogues with the rest of the discipline. This intellectual history is structured around four articles, which discuss in detail these interactions. In the first episode, I examine the pioneering analyses of financial markets pursued by agricultural economists during the inter-war period and their influence on modern financial economics. In the second episode, I focus on the modern development of this hypothesis during the emergence of financial economics in the 1960s and on the close relationship between economists and early financial economists. The third episode explores the growing role of macroeconomists in the 1970s and early 1980s, which ultimately led to the questioning and reformulation of the hypothesis. Finally, the fourth chapter offers a methodological analysis that investigates the link between market efficiency and Hayek's information theory. In this fourth episode, I analyze the conceptual similarities and differences between these two theories of price formation.