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 16 of 16 for “"Time-varying risk"”.
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Macroeconomic news, time-varying risk factors, and time-varying risk premia : the case of the US stock and bond markets
… of this paper is to investigate the sources of time-varying risk premia for both the U.S. stock and bond markets. In addition, we look at the sources of time-varying conditional variance and conditional covariance of these two markets. Although a large literature has emerged on the return and …
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… 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, cross-sectional dependence driven by latent …
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An Econometric Analysis of the Dry Bulk Shipping Industry; Seasonality, Market Efficiency and Risk Premia
… shipping sector using recent econometric and time series techniques. These areas include; seasonality patterns in freight markets, the efficient market hypothesis and the existence of time-varying risk premia in freight rate and ship price formation, the dynamic interrelationships between …
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Currency risk and imperfect knowledge: Cointegrated VAR analyses with survey data
… (non white-noise forecast errors) as well as a time-varying risk premium. What this literature has not done however is to determine whether any of the existing models of the risk premium can account for the time-varying risk premium found in survey data. The second and third chapters use the …
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Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange.
This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of …
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Essays on financial economics
… conditions that made these companies less risky. The failure to account for time-series variation of beta in unconditional CAPM regressions can explain as much as 30% of the value premium. In some samples, about 80% of the value premium can be explained by assuming that investors tied their …
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Three Essays on International Financial Market Linkages
… that macroeconomic uncertainty is a significant risk factor in explaining deviations from the uncovered interest parity (UIP) condition (or time-varying risk premium) using data from the G7 countries. To analyze the relationship between the risk premium and macroeconomic risk factors, we employ …
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Improving risk-adjusted performance in high-frequency trading: The role of fuzzy logic systems
… trading have been the subject of increasing risk concerns. A general theme that we adopt in this thesis is that trading practitioners are predominantly interested in risk-adjusted performance. Likewise, regulators are demanding stricter risk controls. First, we scrutinise conventional AI …
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Learning, dynamics of beliefs, and asset pricing
… develop an equilibrium model of learning about time-varying risk factor loadings. In the model, CAPM holds from investors' ex-ante perspective. However, positive mispricing can be observed when investors' expectations of beta are above ex-post realizations. This model is used to explain the …
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Essays on Term Structures
… generates correlation between the factors and time-varying risk premia. However these characteristics increase the complexity of the model which makes the estimation computationally more intensive (up to 3 times more intensive). Applying the Kalman Filter to fit the models, using data that …
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The Value of Analyst Recommendations: An International Perspective
… related to market returns after allowing time-varying risk exposure. However, countries with more binding short-sales constraints do not show lower future market returns. Finally, the third study takes a broader perspective and investigates whether the short-term value impact of analyst …
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The efficiency of the oil futures markets: information, price discovery and long memory
… term, and the inefficiency is not caused by the time-varying risk premium. The results also show that the oil futures market are unbiased in the multi-contract and multi-market framework but not in all maturities. Second, the price discovery relationship between the oil spot and futures markets …
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Asset valuation in dry bulk shipping
… to expected returns variation and almost none to varying expectations about the terminal earnings yield. According to our results, earnings yields are negatively and significantly related to future net earnings growth. Furthermore, we find no consistent, strong statistical evidence supporting the …
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Nonparametric Methods in Financial Time Series Analysis
… objective of the analysis of financial time series is to unveil the random mechanism, i.e. the probability law, underlying financial data. The effort to identify the truth that governs the observations involves proposing and estimating reasonable statistical models that well explain the …
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Essays in financial economics
… macroeconomic dynamics depends on the degree of risk sharing in the economy and the origin of uncertainty. I develop a general equilibrium model with imperfect risk sharing and two sources of uncertainty shocks: (i) cash-flow uncertainty shocks, which affect the idiosyncratic volatility of firms' …
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Essays in International Finance and Macroeconomics
… be confounded by other factors, such as global risk sentiment. We resolve this impasse by using bank-level data on the external assets and liabilities of UK-resident intermediaries to construct novel Granular Instrumental Variables (GIVs) that identify exogenous shocks to cross-border US dollar …