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 “"conditional asset pricing"”.
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Conditional Asset Pricing Models via Machine Learnings for the Chinese Stock Market
… 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 …
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Asset pricing in UK
… on the predictive ability of alternative Unconditional methodologies. Second it adds to the body of litareture by providing practical tests so as to assess the performance of Conditional models. Third the thesis extends our knowledge on the sensitivity of utilising different portfolio …
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International portfolio diversification with special reference to emerging markets
… markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing …
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Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange.
… importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high …