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.
Results
Showing 1 to 8 of 8 for “"cross-sectional returns"”.
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Information and trading patterns in financial markets
… imply market maker trades and contemporaneous returns are negatively correlated. I find a strong positive correlation, implying that dealers do not provide liquidity. I develop a unique profit decomposition and find that dealers earn significant excess returns, in aggregate driven by …
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The nature, causes and consequences of financial analysts’ forecasts in the UK
… and tests how this contribution can affect cross sectional returns. Results confirm that analysts releasing higher than average earnings per share forecasts lead to higher sentiment levels. Inconsistent with previous literature, short term stock returns are significantly positively affected …
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Essays on Asset Pricing
… and offers an an explanation to prominent cross-sectional return anomalies. A commonality shared by these anomalies is that their returns are negatively correlated with the market. I show that this negative covariance implicitly embeds the mispricing of the CAPM beta -- the first and one of …
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The investment risk of institutional-grade commercial real estate in Australia
… content of prices and the distribution of returns in the ICRE context. It is broken into three main parts. First, the ICRE returns-generating process is characterised to form a basis for deducing theoretical conclusions about the information content of prices and the stochastic attributes …
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Three essays in financial economics
… the impact of crude oil balance of trade on the cross-section of currency returns for 36 countries. Using classical asset pricing methodology, I find that a long/short quintile portfolio of currency sorted on oil balance of trade is priced and induces an annual risk premium ranging from 2.4 to …
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Essays in Currency Markets
… at short horizons when the signals are used in a cross-sectional, multilateral manner than in a time-series, bilateral manner. This suggests macro fundamentals may be more informative of exchange rates than previously thought, if considered jointly rather than pairwise as has conventionally been …
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Essays in international finance
… trading strategy, on monthly exchange-rate returns for four developed and four emerging countries across different horizons. I implement a rolling window approach to the estimation and forecasting of the models, and construct an encompassing forecast. I also assess the economic value of the …
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Essays in Empirical Asset Pricing
… in empirical asset pricing, with a focus on cross-sectional anomalies, factor model evaluation, and information infrastructure in shaping cross-sectional returns and institutional investor demand. In the first chapter, co-authored with colleagues, I show that merger announcement returns …