[PDF] Top 20 Essays in empirical asset pricing

... risk-neutral pricing impact ...risk-neutral pricing equations, while the embedded factor classification does not affect the asymptotic distribution of the parameters driving the yield ... 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

... 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

... the asset pricing literature on linear factor models has produced a disproportionate number of factors related to so called pricing “anomalies” (Harvey et ...assets, asset growth) that are not ... 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

... The approach above, however, may be criticised in two points. First, this analysis assumes that the risk of HML is related to the state of the economy as measured by the market regimes. Even if the risk of HML is not ... See full document

... Recent advances in the literature, along these lines, suggest that the carry trade profitability is related to a risk premium acquired by foreign exchange investors who seek to compensate themselves for adverse movements ... 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

... This paper is related to several strands of the existing literature. First, there have been several empirical asset pricing studies that focus on how some form of intangible investment affects future ... See full document

... with empirical findings by Gorton and Metrick (2010) justify this assumption, which is further supported by a recent paper by Mitchell and Pulvino (2011), which illustrates the consequence of funding liquidity ... See full document

... This paper connects with the vast literature of dynamic models with endogenous investment. Many of these setups include firms that have a time-varying capital structure of equity and debt. A non-exhaustive list of papers ... 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

... 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

... The study’s sample covers all the nonfinancial stocks in the NYSE, AMEX, and NASDAQ return files from the CRSP. Average F-test is applied to all these stocks in the 7 non-overlapping 5-year intervals from January 1972 to ... See full document

... This CAPM theory has both dominated finance literature and significantly influenced the world of finance and business since it was enunciated. It gives a precise definition of risk and builds on the work of Markowitz ... See full document

... the asset log-returns process, which allows to choose any L´evy process as factor processes, and encompasses any class of L´evy processes, from subordinated Brownian motions to jump-diffusion ... See full document

... Our main contributions of this paper can be summarized as follows. Com- pared with A¨ıt-Sahalia et al (2015), our model outperforms in two aspects: 1. Wishart process is incorporated to address the effects from ... See full document

... an empirical pricing kernel for call option by a signal extraction procedure for unobservable pricing ...unobservable pricing kernel but used a two stage estimation proce- dure that involves ... See full document

... current asset holdings (i.e., q) and his optimal asset holdings, q i ...the asset exceeds the cost of buying one more unit, so he chooses to increase his asset holdings up to q A i ...his ... See full document

... key empirical results regarding: (i) the relation between good and bad uncertainties and the future macroeconomic growth rates, (ii) the relation between the two uncertainties and the aggregate asset ... See full document