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 4 of 4 for “"asset pricing anomalies"”.
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The announcement waiting game : holding costs, trading, and returns around earnings announcements
Firms and asset pricing anomalies earn large returns around earnings announcements. This paper advances an explanation for this phenomenon based on holding costs, which are costs incurred by investors while maintaining an existing position. Since holding costs raise the marginal cost of holding a …
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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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Essays in asset pricing and international finance
This thesis consists of three chapters in asset pricing and international finance. In Chapter 1, I examine the effect of tradability, the proportion of a firm's output that is exported, on its stock returns. The empirical patterns are consistent with the adjustment of the relative price of tradable …
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Distress Effects in Stock Returns
… stocks to a common factor with many other market anomalies. The economic implication is that arbitrage profits are likely to be limited due to the high transaction costs alongside the limited investment capacity with associated low-priced, microcap stocks.