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 272 for “"Asset pricing"”.
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Essays in Asset Pricing
This dissertation includes three essays in asset pricing. The first two essays explain the role of investor trust on mutual fund investor behavior and private fund capital raising, respectively. The third essay proposes a valuation model for bitcoin options. In the first essay, I investigate the …
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Essays on Asset Pricing
… relations between macroeconomic quantities and asset prices. The first chapter takes a production-based approach and investigates how different types of business investment are linked to stock returns. The second chapter takes a consumption-based approach and investigates how the interaction …
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Essays on Asset Pricing
This dissertation studies asset pricing from three perspectives. The first chapter takes the view of a long-run buy-and-hold investor, and offers an an explanation to prominent cross-sectional return anomalies. A commonality shared by these anomalies is that their returns are negatively correlated …
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Essays in Asset Pricing
<p>This dissertation consists of three essays in asset pricing with the common theme of return predictability.</p> <p><strong>Chapter 1:</strong> This chapter introduces the motivation, results, and structure of the dissertation.</p> <p><strong>Chapter 2:</strong> I examine the relation between the …
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Asset pricing in UK
… while testing both Unconditional and Conditional asset pricing inferences. Fourth it contributes to the body of literature by extending our knowledge on Unconditional and Conditional beta models and their comparative performance. Fifth the thesis adds to the existing literature by estimating the …
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Essays in Asset Pricing
… devoted to better understand market dynamics and asset pricing anomalies. In Chapter 1, which is co-authored with Andrea Hamaui, we study the effect of investors’ market expectations on asset pricing. Given traditional stock returns factor modelling and the prominence of the market factor, beliefs …
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Communication, confidence and asset pricing.
… to analyze the impact of social communication on asset pricing, agents' trading behavior and welfare, and (2) to examine how traders' changing confidences resulted from communication affect asset pricing and trading behavior. Chapter 2 develops an asset pricing model in which agents communicate …
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Three Essays on Asset Pricing
… that idiosyncratic jump risk has important asset pricing implications and is distinct from market jump risk. In the second essay, I model the impact of supply and demand on risk premiums in electricity futures in a no-arbitrage model, using daily data between 2003 and 2014. The model allows …
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Essays in Empirical Asset Pricing
… consists of three essays in empirical asset pricing. In the first essay, I propose a machine learning based approach to monitor the relative forecasting performance between two forecasts and select the conditionally better forecast. When I apply this ap- proach to the combination …
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Computation in Macroeconomic Asset Pricing
… computational methods for macroeconomic asset pricing models. It demonstrates that advances in economic modeling often require advances in computation and highlights a particular case where more demanding computational methods are required to solve an economic model. It also discusses …
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Essays on Empirical Asset Pricing
… aims at understanding the dynamics of asset prices empirically. It contains three chapters. Chapter One provides an estimator for the conditional expectation function using a partially misspecified model. The estimator automatically detects the dimensions along which the model quality …
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Three essays on asset pricing
… each corresponding to an essay on one topic in asset pricing. Chapter 1 is titled “How Do Oil Shocks Affect Stock Market Risk” and aims to explain some documented comovements between crude oil market and stock market and the predictability of oil prices on stock returns. Firstly, I illustrate a …
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Three essays in asset pricing
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-11-11 without embargo terms
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Two essays in asset pricing
… framework for understanding innovation in the asset pricing literature. Prior research shows that stock returns are increasing in firms' innovative efficiency. In a dynamic model of investment in physical and knowledge capital, this effect can arise rationally as innovative efficiency amplifies …
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Essays on empirical asset pricing
… exchange-rate-recovered SDFs to price countries' assets reflects the violation of my assumptions, and highlights the importance of the special global risk factor to price assets in different countries.
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Essays on international asset pricing.
Thesis. 1980. Ph.D.--Massachusetts Institute of Technology. Dept. of Economics.
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Two Essays on Asset Pricing
This dissertation consists of two chapters. The first chapter shows that the measurement errors in betas for stocks induce corresponding measurement errors in alphas and a spurious negative covariance between the estimated betas and alphas across stocks. This negative covariance between the …
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Essays in Empirical Asset Pricing
… dissertation explores three topics in empirical asset pricing, with a focus on cross-sectional anomalies, factor model evaluation, and information infrastructure in shaping cross-sectional returns and institutional investor demand. In the first chapter, co-authored with colleagues, I show that …
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Three essays on asset pricing studies
Traditional consumption-based asset pricing models generally treat the aggregate stock market as a claim to aggregate consumption. However, according to empirical evidence, the majority of households consume primary out of wages and live with no capital gains from risky investments, this implies …
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