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 12 of 12 for “"Equity Risk Premium"”.
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What About Short Run?
… the short-lived temporal variation of the equity risk premium. In the past decade, the equity risk premium puzzle is resolved by many competing consumption-based asset pricing models. However, before \cite{btz:vrp:rfs}, the return predictability as an outcome of such models has limited …
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The relationship between various risk factors and the cost of equity premium implied by analysts' forecasts on the New York Stock Exchange
The cost of equity is used extensively for capital allocation decisions, and the various methods used to estimate it often result in materially different outcomes. A model of the impact of known risk factors on the implied cost of equity used by equity analysts, who are seen as informed market …
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Cognitive error in the measurement of investment returns
… leading to misleadingly low estimates of the equity risk premium and exaggerated estimates of the losses resulting from bad investment timing. This thesis also derives a method for decomposing the differential between the GM return and the IRR into (i) the effects of this retrospective bias, …
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Valuation bias in the stock market
… evidence of materialised higher growth or lower risk which is inconsistent with their relatively higher valuations indicating that valuation bias could well be present. The evidence in the first study does not imply that valuation of survivor stocks is rational or otherwise. Hence, in our second …
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Financial liberalization and dynamics of firm-level financing and investment decisions in the Southeast Asian countries
… liberalization by considering the debt and equity financing decisions of a set of non-financial firms. The empirical results show that firms in Indonesia, Pakistan, and South Korea have relatively faster speed of adjustment than other Southeast Asian countries to attain optimal debt and …
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An investigation of the equity premium using habit utility and equity returns: Australian evidence
… the return on stocks and the return on the risk free assets represented by bonds is named the 'Equity Premium' or 'Equity Risk Premium'. In the history of asset pricing models, one of the most serious problems for the equity premium is that the average equity premium is too large to be …
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Essays On Information And Derivative Markets
… lead to greater volatility in the firm's equity price upon their release, raising pre-disclosure option prices and 2) disclosures that are more informative for good-versus-bad news lead to skewness in the firm's equity price upon their release, adjusting the relative pre-disclosure prices …
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Essays on finance, learning, and macroeconomics
… model produces large pricing errors for U.S. equity returns. I prove that under learning standard moment conditions need not hold in finite samples, leading to pricing errors. Simulations show that learning can generate quantitatively realistic pricing errors and a substantial equity risk …
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Stocks, bonds and volatility in financial markets
The first essay, Funding Liquidity and Its Risk Premiums, presents a new approach to measure funding liquidity and demonstrates that the estimated funding liquidity can predict future stock market returns. The key idea is that, as capital constraints become more binding, speculators withdraw first …
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Essays in Asset Pricing
… Recent microeconomic evidence suggests that risk aversion is largely determined by the changes in the state of the economy and mostly insensitive to the fluctuations in idiosyncratic wealth. I propose a consumption-based asset pricing model that is consistent with this evidence and capable of …
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Essays in Empirical Asset Pricing and International Finance
… method as a novel framework for forecasting the equity risk premium out-of-sample. sDOC advances traditional linear dimension-reduction techniques - most notably Principal Component Analysis (PCA) - by integrating machine learning-based feature selection with the construction of dynamic, …
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Equity investment styles
… is to investigate the nature of determinants of equity returns as suggested by the CAPM model, in particular, alphas, betas and equity premium and to outline implications for investment managers that statistical and structural analysis of the aforementioned variables may suggest. The thesis …