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 19 of 19 for “"Volatility risk"”.
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Essays in Asset Pricing and Volatility Risk
… aggregate uncertainty into `good' and `bad' volatility components, associated with positive and negative innovations to macroeconomic growth. We document that in line with our theoretical framework, these two uncertainties have opposite impact on aggregate growth and asset prices. Good …
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Essays on Volatility Risk and Security Returns
… returns and equilibrium determinants of variance risk and the variance risk premium. In the first essay, I analyze the relation between expected option returns and the volatility of the underlying securities. In the Black-Scholes-Merton and stochastic volatility models, the expected return from …
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Essays on commodity investing and volatility risk
… investigate issues in commodity investing and volatility risk in commodity futures markets. The first essay evaluates the usefulness of commodities in a portfolio by examining multiple commodity instrument tools and by controlling for estimation error. Using data from three generations of …
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Volatility risk and stock return predictability on global financial crises
… empirical studies for investigating the role of volatility risk on stock return predictability specified on two global financial crises: the dot-com bubble and recent financial crisis. Using a broad sample of stock options traded at the American Stock Exchange and the Chicago Board Options …
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Will CARICOM countries be vulnerable to financial crises as a result of the Economic Partnership Agreement (EPA): the Cotonou Agreement?
… countries, using the concepts of globalisation, volatility risk and hubris (of leadership, economic thought and a weak regulatory environment). This study seeks to establish whether financial crises may occur when the variables of globalisation, volatility risk and hubris within a weak regulatory …
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Essays in International Finance and the Global Financial Crisis
… crisis. Chapter one links the foreign exchange risk premium to macroeconomic risk by studying the options market around macroeconomic news releases. Using a unique data set of overnight currency option prices, I study the reaction of the entire state price density to both anticipated and …
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Macroeconomic news, time-varying risk factors, and time-varying risk premia : the case of the US stock and bond markets
… 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 volatility of …
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Empirical essays on option-implied information and asset pricing
… the predictive ability of option-implied volatility measures proposed by previous studies by using firm-level option and stock data. This essay documents significant non-zero returns on long-short portfolios formed on call-put implied volatility spread, and implied volatility skew. …
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Three Essays on Bank Capital Structure, Performance, and Financial Inclusion
… impact of the crisis, banks’ systemic size and risks. Using a sample of the European Economic Area’s listed banks over 2005-2014, we find that equity capital is negatively associated with size and positively with profits, market-to-book ratio, dividends, and market return volatility risk; while …
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Volatility and Price Information Contained in Selected Agricultural Futures Options
This dissertation assesses the volatility and price information contained in selected agricultural futures options with respect to three important dimensions: (1) forecasts of future levels of volatility, (2) forecasts of the direction and magnitude of changes in future volatility, and (3) …
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Essays on the term structure of equity returns
… stocks and an SDF with two priced sources of risk - dividend volatility risk and discount rate risk - which generates an economy with both upward and downward sloping equity term structures. The model creates two hypotheses: (1) dividend strips of stocks with more volatile dividends should …
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Investigating Systemic Risk with Co-occurrence Networks – Studies from the fields of sovereign bond and energy markets
… by a common research theme, systemic risk. The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network This study investigates the sovereign yield curve network of 12 developed countries. The term structure of interest rates into the …
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Essays on international finance
… to the carry trade and momentum. Global FX volatility risk, however, turns out to account for the carry trade return in the interwar sample as well as in modern samples. In the second study, we provide a scientific account for the risk-off phenomenon which refers to a change in risk …
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Analysis and Management of the Price Volatility in the Construction Industry
The problem of price volatility as it pertains to material and labor is a major source of risk and financial distress for all the participants in the construction industry. The overarching goal of this dissertation is to address this problem from both viewpoints of risk analysis and risk …
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Empirical essays on inferring information from options and other financial derivatives
… Option pricing framework is used where the risk-neutral density of the underlying asset is assumed to be a mixture of two lognormals augmented with a probability of default, to calibrate to the market option prices. The CDS model assumes a constant default probability which is solved from …
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Essays in Financial Econometrics
… there has been an explosion of research on the volatility of stock returns. As high frequency stock price data became more readily available, there have been many proposed estimators of integrated variance which attempt to take advantage of the informational gains of high-frequency data while …
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Sustainable approaches to ad-hoc information sharing for virtual organizations
… to authorization, which try to eliminate risk for individual VO members, rather than maximize VO productivity while bounding risk. In this thesis, we explore two approaches for VOs to encourage ad-hoc information sharing in an economically sustainable manner without taking on excessive …
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Unraveling the Impact of Product Market Competition and Earnings Volatility on Zero Leverage Policies
… whether firms characterized by higher earnings volatility exhibit a more pronounced positive relationship between product market competition and the likelihood of adopting a zero-leverage strategy. To carry out this investigation, we employed product market competition data (Fluidity) from the …
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Enterprise Risk Management: The Transformation of Board-level Engagement as Evidenced by Disclosure
… in ERM as measured by the index and (i) volatility of earnings, (ii) firm valuation, and (iii) the pricing of audit services by external auditors measured as outcomes.</p> <p>After coding ERM disclosures of companies in the S&P 500 for 2010 to 2014, the final sample consists of 2,264 …