Three essays in financial economics
type: CreativeWork
description: This PhD dissertation is made up of three stand-alone research projects. One on financial accounting and macroeconomics while the two others are empirical asset pricing projects, in the equity and currency markets. In the first project, I examine whether aggregate cost stickiness predicts future macro-level unemployment rate. I find that a one-standard-deviation-higher cost stickiness in recent quarters is followed by a 0.23 to 0.26-percentage-point-lower unemployment rate in the current and following quarter. In out-of-sample tests, I find significant reductions in the root-mean-squared-errors upon incorporation of cost stickiness for all models. These findings suggest that professional macro forecasters do not fully incorporate the information contained in cost stickiness. In the second project, I investigate 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 2.9%. I conduct the analysis using individual currencies and portfolios as test assets, both leading to the same conclusion. I also find that characteristics subsume factor beta and, hence, confirm results in the equity market (Chordia, Goyal and Shanken 2015). More interestingly, I show that the net oil balance of trade characteristic, specific to each country and varying over time, contains incremental information relative to the carry characteristic that explains currency excess returns. The fact that not only oil price but also oil net balance of trade plays a role in asset pricing is completely new to the literature. In the third project, I explore the effect of time-varying arbitrage capital availability on the cross-section of abnormal equity returns. I investigate the relationship between arbitrage capital, proxied by a market wide-liquidity measure introduced b…
abstract: This PhD dissertation is made up of three stand-alone research projects. One on financial accounting and macroeconomics while the two others are empirical asset pricing projects, in the equity and currency markets. In the first project, I examine whether aggregate cost stickiness predicts future macro-level unemployment rate. I find that a one-standard-deviation-higher cost stickiness in recent quarters is followed by a 0.23 to 0.26-percentage-point-lower unemployment rate in the current and following quarter. In out-of-sample tests, I find significant reductions in the root-mean-squared-errors upon incorporation of cost stickiness for all models. These findings suggest that professional macro forecasters do not fully incorporate the information contained in cost stickiness. In the second project, I investigate 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 2.9%. I conduct the analysis using individual currencies and portfolios as test assets, both leading to the same conclusion. I also find that characteristics subsume factor beta and, hence, confirm results in the equity market (Chordia, Goyal and Shanken 2015). More interestingly, I show that the net oil balance of trade characteristic, specific to each country and varying over time, contains incremental information relative to the carry characteristic that explains currency excess returns. The fact that not only oil price but also oil net balance of trade plays a role in asset pricing is completely new to the literature. In the third project, I explore the effect of time-varying arbitrage capital availability on the cross-section of abnormal equity returns. I investigate the relationship between arbitrage capital, proxied by a market wide-liquidity measure introduced b…
author: Rouxelin, Florent
language: EN
keywords: Arbitrage capital, Unemployment rate, Oil balance of trade
license: https://purl.org/coar/access_right/c_abf2
license: https://creativecommons.org/licenses/by-nc-nd/3.0/au/
date published: 2018
date modified: 2026-07-24T05:34:07Z
provider: University of New South Wales
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: UNSW, Sydney

PropertyValue
property ID: Handle
value: http://hdl.handle.net/1959.4/61861

PropertyValue
property ID: DOI
value: 10.26190/unsworks/3689