[PDF] Top 20 Essays in Asset Pricing

... of Asset Pricing, the market price of any asset is given by the present value of its payoffs computed under the risk-neutral probability measure (Dybvig and Ross, ...observed asset prices, ... See full document

... 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[.] ... See full document

... and Asset-Prices'') I document several novel empirical facts: Technological volatility that originates from the consumption sector plays the ``traditional'' role of depressing the real economy and stock prices, ... See full document

... Other recent work explores implications for option pricing in dynamic endowment economies. Benzoni, Collin-Dufresne, and Goldstein (2011) derive options prices in a Bansal and Yaron (2004) economy with jumps to ... See full document

... The calibration of the baseline model in Section 1.3.5 splits the workforce into demographic groups only, but does not consider the role of skilled and unskilled labor separately. However, part of the wage bill of firms ... See full document

... We focus our attention on the dynamics of the default risk premium which captures re- markable attention in both asset pricing and credit risk literatures. Different approaches have addressed the estimation ... See full document

... the pricing kernels before the final date are directly affected by the constraint and that makes the overall effect of portfolio insurance to be increasing risk premium and ... See full document

... U.S. asset prices that have been historically difficult for consumption-based asset pricing models to ...on asset prices using Epstein and Zin (1989) preferences, our model disentangles the ... See full document

... interpret asset 2 as Treasury bonds and asset 1 as agency bonds or highly rated corporate ...interpret asset 1 as junk bonds and asset 2 as bonds with investment-grades and above ...for ... See full document

... rather than pursue the constrained IPO process. Section 3.1 describes that IPO process, while Section 3.2 describes reverse mergers and presents a notable example of one in China. In Section 3.3, we compute a simple ... See full document

... based asset pricing ...and asset returns (see, ...and asset returns, and ii) by showing that this component can price jointly different classes of assets and tends to act as a driving factor of ... See full document

... In terms of work regarding maturity choice, Diamond (1991) suggests that cross-sectional heterogeneity of long-term debt shares can be linked to firm level signals in the form of credit ratings. More recently, Greenwood ... See full document

... The impact of the prior performance of an investment on its future market value has received considerable attention in asset pricing literature. Some earlier studies in this area include Thaler and Johnson ... See full document

... 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, ... See full document

... 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 ... See full document

... 58 adjusted returns (see Chapter 2 for a literature review). As a by-product of their analysis, some of these studies have tested whether the differential return between the most and the least constrained firms is ... See full document

... Simulation is probably the best way to derive fair prices when no explicit solution can be obtained. PDE method and lattice method all have limitations such as the curse of dimensionality. Naive simulation methods like ... See full document

... In this section, I simulate data with different sample lengths to investigate how long the initial sample that the investor observes needs to be for the effect of learning to vanish. Taking the parameter estimates in ... See full document

... total payouts are often negative, meaning that there are periods when the corporate sec- tor receives funds from investors rather than paying them out. Indeed, in our 1975-2014 sample total payouts go below zero about ... See full document

... Returns do not have a constant variance as was previously assumed in this chapter. Instead, they exhibit volatility clustering. Taking into account the volatility dynamics is essential for asset allocation ... See full document