[PDF] Top 20 Essays on asset pricing

... an asset is determined by its systematic ...Cross-sectional asset-pricing studies typically exclude financial institutions because of their high leverage and the high level of industry ...the ... 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

... underlying asset, especially in the bad state, and therefore drives up the price of the OTM ...equilibrium pricing kernel as illustrat- ed in equation ... 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

... This paper is related to the recently burgeoning literature that uses random search model to analyze OTC markets. The strand of this literature is based on the framework developed in Du¢ e, Garleanu and Pederson (2005). ... See full document

... their paper, they first use a fourth-order Taylor expansion for the value function, and then simulate the sample path and use regression to calculate the conditional expectations in the value function. Using data from ... See full document

... cross-sectional pricing results when the test assets are composed of the 25 Fama-French portfolios, the 10 momentum portfolios, and the 30 in- dustry portfolios, in addition to the zero-coupon bonds with ... See full document

... At the same time, the four spreads display distinct asset-specific features. As seen in Table 1, the means and standard deviations differ across the four asset classes. For example, CIP has much lower mean ... See full document

... prices in each state following the approach of Figlewski (2008); in particular, the left and right tail of the risk-neutral probability measure are fitted using the Generalized Extreme Value (GEV) distribution. Finally, ... See full document

... The state space of our model also assumes that preference changes coincide with some reces- sions and not with others. Malmendier and Nagel (2011) and Guiso et al. (2013) document evidence that the Great Depression and ... 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

... are trading towards different directions on the two markets, one can earn positive expected excess return by taking long position on the market that local investors are selling. The rationale is: the presence of demand ... See full document

... of asset growth is motivated by Cooper, Gulen and Schill (2006), who find that asset growth rates are more important determinants of the cross-section of returns than size, B/M and several other ... 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

... endogenous asset pricing, I can quantify the price impact of the private benefits of control, and of the presence of a controlling ...model pricing equations to quantify the difference between the ... See full document

... 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 empirical ... See full document

... This model setting generates the key result: when their wealth level is high, ex- trapolators drive the asset prices. In this case, high investor sentiment makes the current asset price overvalued, and the ... See full document

... affine asset pricing framework with a parsimonious mix of macro variables and bond factors for the joint pricing of bonds and ...simultaneous pricing of stock and bond returns that jointly ... See full document