[PDF] Top 20 Two Essays in Empirical Asset Pricing

... the two time series are also remarkably different; the risk neutral variance is more sensitive to left tail events (large negative returns) than the subjective variance, even at longer ... See full document

... The dissertation consists of two essays. The first essay investigates the ability of prior returns, relative to some aggregate market returns, to predict future returns on industry style portfolios. By ... See full document

... In this paper, we aim to value tranches on the CDX using a representative-agent model. We require that the model be consistent with facts about the aggregate market, and, impor- tantly, option prices, as the connection ... See full document

... several empirical asset pricing studies that focus on how some form of intangible investment affects future equity ...returns, two signficiant deviations from the existing ... See full document

... Panel B and Panel C of Table 1.3 report results from CAPM and Fama and French (1993) three-factor (FF-3) regressions of portfolio returns. CAPM provides little explanatory power for the YMO portfolio returns, with an R 2 ... 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

... same two-dimensional sorts using other firm characteristics, such as past returns, BE/ME and E/P, as previous researches report that there are cross-sectional return regularities associated with these firm ... See full document

... first two moments of the nominal yield curve, while previous literature successfully capture the upward-sloping shape of the nominal yield curve, they do not generate realistic implication for the second ... See full document

... current asset price overvalued, and the future asset price will decline because high investor sentiment will cool down over ...provide empirical support for this ... See full document

... the two parties of a CDS trade agree on the CDS premium that makes the CDS contract having zero value at ...the two parties exchange an amount of cash at origination to reflect the true value of the ... See full document

... of asset indivisibility and restrictions on investors’holding ...these two assump- tions? In Section 4, we work on a variation where the asset is perfectly divisible and investors are allowed to ... See full document

... these empirical features and capture the financial contagion ...into two relative simple ones: Portfolio choice in a pure-diffusion market and in a jump- diffusion market with less ...in asset prices ... See full document

... of two components: income and price change (Fischer & Jordan, 1995; Fernandez, Aguirreamalloa & Corres, 2010; Arnold, 2008; Berk & DeMarzo, 2009; Brealey, Myers & Marcus, 2001; Copeland, Weston ... See full document

... of two independent processes representing respectively the systematic factor and the idiosyncratic shock, so that dependence be- tween assets in a given portfolio is originated by the common component of the ... 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 ... See full document

... long-term asset or the long-term path of the economy. For instance, two recessions might look identical in terms of the observed decline in aggregate ... See full document

... to two reasons: (i) reduced capital and productivity result in less profits, which provides a shortage of internal funds to buy back debt and (ii) the collateral constraint, which is tied to the firm’s decreasing ... See full document

... This paper is most closely related to other quantitative studies on the welfare impact of capital requirements (Van den Heuvel (2008) , Nguyen (2014), Begenau (2016), Van den Heuvel (2016)) and leverage constraints ... See full document

... Classical asset pricing theory suggests that investors should be compensated with higher return when they hold a security issued by a company subject to default ...The empirical validation of this ... See full document

... each two-digit SIC code industry to derive ...in two non-favorable ...top two segments are in one favorable industry and one non-favorable ...only two-segment firms in the sample (that is, we ... See full document