Author: Sangbae KimPublisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 440
Book Description
Essays on Asset Pricing Theory
Author: Sangbae KimPublisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 440
Book Description
Three Essays on Asset Pricing Theory
Author: Jaeho ChoPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 228
Book Description
Three Essays in Asset Pricing Theory
Author: Lionel MartelliniEssays in Asset Pricing Theory
Author: Alexandre Miguel de Oliveira dos Santos BaptistaPublisher:
ISBN:
Category :
Languages : en
Pages : 436
Book Description
Two Essays on Asset Pricing
Author: Dan LuoPublisher:
ISBN: 9781361279199
Category :
Languages : en
Pages :
Book Description
This dissertation, "Two Essays on Asset Pricing" by Dan, Luo, 罗丹, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis centers around the pricing and risk-return tradeoff of credit and equity derivatives. The first essay studies the pricing in the CDS Index (CDX) tranche market, and whether these instruments have been reasonably priced and integrated within the financial market generally, both before and during the financial crisis. We first design a procedure to value CDO tranches using an intensity-based model which falls into the affine model class. The CDX tranche spreads are efficiently explained by a three-factor version of this model, before and during the crisis period. We then construct tradable CDX tranche portfolios, representing the three default intensity factors. These portfolios capture the same exposure as the S&P 500 index optionmarket, to a market crash. We regress these CDX factors against the underlying index, the volatility factor, and the smirk factor, extracted from the index option returns, and against the Fama-French market, size and book-to-market factors. We finally argue that the CDX spreads are integrated in the financial market, and their issuers have not made excess returns. The second essay explores the specifications of jumps for modeling stock price dynamics and cross-sectional option prices. We exploit a long sample of about 16 years of S&P500 returns and option prices for model estimation. We explicitly impose the time-series consistency when jointly fitting the return and option series. We specify a separate jump intensity process which affords a distinct source of uncertainty and persistence level from the volatility process. Our overall conclusion is that simultaneous jumps in return and volatility are helpful in fitting the return, volatility and jump intensity time series, while time-varying jump intensities improve the cross-section fit of the option prices. In the formulation with time-varying jump intensity, both the mean jump size and standard deviation of jump size premia are strengthened. Our MCMC approach to estimate the models is appropriate, because it has been found to be powerful by other authors, and it is suitable for dealing with jumps. To the best of our knowledge, our study provides the the most comprehensive application of the MCMC technique to option pricing in affine jump-diffusion models. DOI: 10.5353/th_b4819935 Subjects: Capital assets pricing model
Essays on Capital Asset Pricing Theory
Author: Antonius Johannes Van ZijlPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 316
Book Description
Essays on Asset Pricing and Empirical Estimation
Author: Pooya NazeranPublisher:
ISBN:
Category :
Languages : en
Pages : 138
Book Description
Abstract: A considerable portion of the asset pricing literature considers the demand schedule for asset prices to be perfectly elastic (flat). As argued, asset prices are determined using information about future payoff distribution, as well as the discount rate; consequently, an asset would be priced independent of its available supply. Furthermore, such a flat demand curve is considered to be a consequence of the Efficient Market Hypothesis. My dissertation evaluates and questions the factuality of these assertions. I approach this problem from both an empirical and a theoretical perspective. The general argument is that asset prices do respond to supply-shocks; and changes in aggregate demand, stemming from preference changes, new international investments, or quantitative easing by the Fed, can result in price changes. Hence, asset prices are determined by both demand and supply factors. In the first essay, "Downward Sloping Asset Demand: Evidence from the Treasury Bills Market," I report on my empirical study which establishes the existence of a downward sloping demand curve (DSDC) in the T-bill market. In the second essay, "Asset Pricing: Inelastic Supply," I examine the theoretical issues concerning a downward sloping demand curve. I begin by clarifying a common confusion in the literature, namely, that many asset pricing models imply a flat demand curve. I show that the prominent asset pricing models, including Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory (APT) and Consumption Capital Asset Pricing Model (CCAPM), all have an underlying DSDC. I further show that, while these models imply the relevance of supply, they are inconvenient as a vehicle for the estimation and analysis of the DSDC in the data. For those purposes, I develop an asset pricing framework based on the stochastic discount factor framework, specifically designed with a DSDC at its heart. I end the essay with a discussion of the framework's implications and applications. In the third essay I develop on the Factor-Augmented Vector-Autoregression (FAVAR) literature, proposing a bias-corrected method. As implemented in the literature, the Principal Component Analysis stage of FAVAR introduces a classical-error-in-variable problem which leads to bias. I propose an instrument-based method for bias correction.
Two Essays on Asset Pricing and Asset Choice
Author: James Eric GundersonPublisher:
ISBN:
Category :
Languages : en
Pages : 336
Book Description
Selected Essays in Empirical Asset Pricing
Author: Christian FunkePublisher: Springer Science & Business Media
ISBN: 3834998141
Category : Business & Economics
Languages : en
Pages : 123
Book Description
Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author: Tae-Jin Kang