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 18 of 18 for “"Empirical Asset Pricing"”.
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Essays in Empirical Asset Pricing
This dissertation 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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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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Essays on empirical asset pricing
… influence on all countries. By designing an empirical test using exchange rates and equity returns of 28 countries from 1988 to August of 2014, I show that the moment conditions are rejected in the data. The failure of the exchange-rate-recovered SDFs to price countries' assets reflects the …
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Essays in Empirical Asset Pricing
This 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 Empirical Asset Pricing
The third chapter estimates the conditional variance of daily stock returns using an extended GARCH model with event-related dummy variables to capture the predictable components of volatility change, such as earnings announcements, macroeconomic announcements, day-of-the-week effects, etc. We …
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Three Essays in Empirical Asset Pricing
The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed …
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Essays in Empirical Asset Pricing and International Finance
… (RF), and a three-layer neural network (NN3). Empirical evidence shows that, across most industries, sDOC outperforms PCA, univariate GARCH(1,1), and RF, while delivering predictive performance comparable to NN3. This superiority is evident across multiple evaluation criteria, including …
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ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS
… thesis is composed of three essays related to empirical asset pricing. In the first essay of the thesis, we investigate recent rational explanations of the value premium using a regime-switching approach. Using data from the US stock market, we investigate the risk of value and growth in …
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Essays in empirical asset pricing and portfolio construction
… thesis is predictability and how it relates to asset pricing and portfolio construction. Chapter 1, co-authored with Oliver Linton, tests for predictability in asset pricing model residuals to check model specification. We estimate three consumption-based asset pricing models and derive ex-ante …
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Essays on Empirical Asset Pricing and Behavioural Finance
… to be associated with the sentiment-driven mispricing, which is eliminated among the heavily shorted stocks. Collectively, these results suggest that the two new premia have different underlying attributions. Although the profitability premium is more consistent with the mispricing …
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Essays on Empirical Asset Pricing and Behavioural Finance
… to be associated with the sentiment-driven mispricing, which is eliminated among the heavily shorted stocks. Collectively, these results suggest that the two new premia have different underlying attributions. Although the profitability premium is more consistent with the mispricing …
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… this dissertation develops a unified conditional asset pricing framework that integrates time-varying risk exposures, distributional asymmetry, and high-dimensional information. The analysis addresses three interrelated challenges in empirical asset pricing: state-dependent factor loadings, …
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Three essays in financial economics
The first essay asks the question: Do investors pay attention to foreign market conditions when they evaluate multinational corporations? Using geographic segment disclosures by U.S. multinational companies, I find that stock prices do not promptly incorporate information regarding changes in …
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Three essays in financial economics
… and macroeconomics while the two others are empirical asset pricing projects, in the equity and currency markets. In the first project, I examine whether aggregate cost stickiness predicts future macro-level unemployment rate. I find that a one-standard-deviation-higher cost stickiness in …
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Three essays on financial economics
… financial intermediation, corporate finance, and empirical asset pricing. Below are the individual abstracts. Chapter 1: Credit Shock Propagation in Firm Networks: Evidence from Government Bank Credit Expansions We study how bank credit shocks propagate through supplier-customer firm networks. We …
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Machine Learning Predictions of International Stock Returns
… that aggregates all the anomalies into one mispricing signal are 4 times more profitable than a strategy based on individual anomalies and survive on a liquid universe of stocks. The machine learning also leads to 2 times larger Sharpe ratios with respect to the corresponding standard finance …
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Risk and Uncertainty in Healthcare Finance, Investment Management, and Asset Pricing
… decision-making process, both theoretically and empirically, to improve the design and regulation of clinical trials. Then, we consider both the development and deployment of vaccines for emerging infectious diseases. Using the COVID-19 pandemic as a case study, we develop a quantitative method …
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Essays in Market Integrations, and Economic Forecasting
In this thesis I study two fields of empirical finance: market integration and economic forecasting. The first two chapters focus on studying regional integration of Mexican and U.S. equity markets. In the third chapter, I propose the use of the daily term structure of interest rates to forecast …