Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 137 for “"Asset Prices"”.
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Institutional Investors and Asset Prices
… have heterogeneous impacts on equilibrium market prices.</p><p>In the first chapter, I begin by documenting the substantial heterogeneity in portfolios across different types of investors. To explain this phenomenon, I build a model in which investors have different information processing …
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Two Essays on Asset Prices
… incentives. Our findings support the notion that assets may become mispriced when rational investors face structural uncertainties as proposed by Brav and Heaton (2002).
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Asset Prices, Banking and Economic Activity
This dissertation examines the role of asset prices to act as a transmission and amplification mechanism. Specifically, it looks at how changes in asset prices can help transmit and amplify technology shocks through the credit channel by changing the supply of loanable funds, or changing the supply …
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Essays in asset prices and macroeconomics
… is composed by two chapters relating asset prices and macroeconomic dynamics, the first one explores this relationship from a theoretical point of view while the second chapter is focused on a more empirical approach to use information from asset prices. The first chapter contributes …
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Information risk, uncertainty risk and asset prices
… friction in explaining business cycles and asset prices. I document a new mechanism to generate time variation in uncertainty from the information channel, where rational agents' beliefs from Bayesian learning features time-varying uncertainty in a stochastic imperfect information …
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Simulation of asset prices using Lévy processes
This dissertation focuses on a Lévy process driven framework for the pricing of financial instruments. The main focus of this dissertation is not, however, to price these instruments; the main focus is simulation based. Simulation is a key issue under Monte Carlo pricing and risk-neutral valuation- …
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Life cycle investment behavior, demographics and asset prices
… the relationship between demographics and asset prices. More specifically it examines the effect of changes in the age distribution of the U.S. population on housing, stock, and bond prices over the post World War II period in the U.S. This is done in two steps. First, survey data on …
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Business cycle, reallocation of labor and asset prices
Empirical literature on reallocation of resources during business cycles provides an evidence of increased reallocation of labor across firms during downturns. In this paper I build a theoretical model with search frictions in the labor market, that is consistent with this observation, and study …
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Impact of Central Bank Real Estate Purchases on Asset Prices
… impact of central bank real estate purchases on asset prices, demonstrating an increase of 0.1% to 0.2% of Real Estate Investment Trust (REIT) prices in the hours following a typical intervention of 0.014% of market capitalization. At longer horizons, the purchases do not appear to have a …
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The information content of asset prices and emerging market crises
Thesis: Ph. D., Massachusetts Institute of Technology, Department of Economics, c1999
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Mean reversion in asset prices and asset allocation in investment management
This thesis examines the predictability of asset prices for an Australian investor. Evidence supporting the mean reversion alternative to the random walk hypothesis is presented, with a discussion of potential models, both linear and nonlinear. The normality and homoscedasticity assumptions are …
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Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices
… thesis is to examine predictable fluctuations in asset returns based on rational and irrational human behaviour in financial markets. The results presented in this thesis can inform retail and professional investors, as well as economic policy design, e.g., related to the better understanding and …
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The interplay between exchange rate regimes and asset prices : a comprehensive investigation
… aims to explore the systematic factors affecting asset returns in Africa, particularly the dynamic and asymmetric impact of macroeconomic variables on stock returns by incorporating exchange rate regimes into the valuation process. This aim is motivated by the disparity between the surge in global …
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Measuring Central Bank Credibility From the Effect of Inflation Shocks on Asset Prices
… I model how credibility shapes the responses of asset prices to inflation shocks. And, for each country, I estimate responses of commodity and foreign exchange prices to announcements of inflation shocks during the periods of 1982 to 1991 (pre-inflation targeting period) and 1996 to 2005 …
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Temporal Issues in Market Inefficiency in asset prices with an emphasis on commodities
… that enable the user to assess how often asset markets are efficient. In Chapter 3 we argue that commodity prices can be estimated using switching-regression models including hidden Markov state-switching models. Instead of estimating Markov transition matrices directly from the estimation …
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News media, asset prices and capital flows: evidence from a small open economy
… the content of print news media in determining asset prices and capital flows in a small open economy (South Africa). Specifically, it examines how much of the daily variation in stock prices, bond prices, trading volume and capital flows can be explained by phrases in the print news media. …
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The evolution of the U.S. financial architecture, asset prices, and the role of fiscal and monetary policy
… the effects of monetary policy on financial assets.
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Two essays on the predictability of asset prices: "Benchmarking problems and long horizon abnormal returns" and, "Low R square in the cross section of expected returns"
… consists of two essays on predictability of asset prices. "Benchmarking problems and long horizon abnormal returns" and, "Low R-square in the cross section of expected returns". Long run abnormal returns following Initial Public Offerings (IPOs), Seasoned Equity Offers (SEO) and other firm …
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Pricing equity options on multiple underlyings in the South African context
It is well documented that financial asset prices returns are not normally distributed. Historical return distributions exhibit fatter tails and positive skewness that is not explained by a normal distribution. Moreover, the standard Black-Scholes option pricing framework that assumes that asset …
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