Empirical Asset Pricing
Essays in empirical asset pricing: Turkish markets
... The empirical asset pricing literature on Turkish market dates back to the establishment of the BIST in ...capital asset pricing model (CAPM), the Fama-French three-factor model and the ...
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Essays in empirical asset pricing
... of empirical asset pricing specifications, and the microstructure noise attributable biases can be eliminated by running WLS regressions to estimate the return premiums that rely on stock returns as ...
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Essays on Empirical Asset Pricing
... Empirical asset pricing research focused on identifying anomalous returns often disregards tail-risk ...that asset pricing studies over rely on alpha estimates to claim an anomaly ...
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Essays on Empirical Asset Pricing
... on empirical asset ...the pricing of systematic ...of asset pricing models to price individual ...popular asset pricing models can be used for computing costs of equity ...
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Essays on empirical asset pricing
... Microsoft Word ThesisTotal20160728 docx 1 The London School of Economics and Political Science Essays on Empirical Asset Pricing Huaizhi Chen A thesis submitted to the Department of Finance of the Lon[.] ...
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Three essays on empirical asset pricing and systematic ambiguity
... on empirical asset pricing and system- atic ...fund asset allocation model reveals that firstly an investor tends to reduce her allocation to risky assets under ambiguity, hedge funds or ...
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Two Essays in Empirical Asset Pricing
... the values found in the literature). Although there are numerous parametric and non–parametric methods to fit the risk neutral density (for example, the methods proposed by A¨ıt-Sahalia and Lo [1998], Jackwerth [2000], ...
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Machine Learning and Empirical Asset Pricing
... month, I independently sort stocks into quintiles on predicted returns from each model and construct spread portfolios by buying the winner quintile and selling the loser quintile. For a[r] ...
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Essays In Market Efficiency And Empirical Asset Pricing
... The size factor is intended to capture size-related differences in stock risk and return that arise from size-related differences in the underlying businesses. In China, however, the stock of a small listed firm is ...
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Essays in empirical asset pricing
... based asset pricing ...the empirical evidence linking slow movements in consumption and asset returns (see, ...and asset returns, and ii) by showing that this component can price ...
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Essays on empirical asset pricing in the foreign exchange market
... The mechanism we proposed in the asset pricing model may also be relevant for other long-short currency strategies. In order to understand better the role of political risk for currency long-short ...
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Two Essays in Empirical Asset Pricing
... presents empirical evidence on the significance of prior performance on asset pricing by using actual stock market ...previous empirical studies focused on how prior outcome affects risk ...
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ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODS
... Any LFM which uses factors from firm characteristics to explain assets’ returns rationally is subject to some critiques. First, the interpretation of the firm- characteristic based factors in terms of meaningful, ...
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Essays In Empirical Asset Pricing
... Existing pricing theories offer little guidance about which predic- tors should be included in the regression, so the decision regarding the predictive power of potential regressors is often based on ...
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Essays on empirical asset pricing
... traditional asset pricing models are not able to explain the carry premium puzzle - some other risk is likely to be priced in or the prices of risk factors change considerably over ...(such empirical ...
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Essays on Empirical Asset Pricing
... Our results relate to and extend a long strand of literature on the conditional CAPM. Jagan- nathan and Wang (1996) show that the conditional CAPM helps explain asset returns when using instruments to measure ...
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Essays on empirical asset pricing
... We build on a rich prior literature starting with Eichenbaum et al. (1988) [6] that explores the empirical properties of intertemporal asset pricing models where the rep- resentative agent has ...
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Empirical cross-sectional asset pricing: a survey
... of empirical literature on cross-sectional asset ...behind asset pric- ing models; the goal of the survey is purely empirical in ...Other asset classes, such as fixed-income and ...
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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
... Using stationary quarterly data on consumption growth, assets returns and instruments, we apply the SMD procedure to directly estimate all the unknown parameters of interest in the Euler equations underlying the optimal ...
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Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
... the empirical success of the internal habit model compared to the external habit speci…cation lies with the forward-looking nature of marginal ...sorted asset returns with long-horizon consumption growth ...
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