Author: Svetlana SapuricPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays in Asset Management
Author: Svetlana SapuricThree Essays in Asset Management
Author: Vaska Charlz Atta-DarkuaPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Three Essays on Asset Management
Author: Yanli CuiThree Essays on Delegated Asset Management
Author: Galina SukonnikThree Essays in Investment Management Industry
Author: Xu LiPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This note is part of Quality testing.
Three Essays in Investment Management Industry
Author: Xu Li (Researcher in finance and econometrics)Publisher:
ISBN:
Category : Bond funds
Languages : en
Pages : 0
Book Description
Three Essays in Empirical Asset Pricing
Author: Ali ShahradPublisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
"This thesis consists of three essays in empirical asset pricing. In the first essay, I study momentum crashes in emerging equity markets. In particular, I investigate that the momentum crashes are related to volatility, unconditional of the market state. I use emerging stock markets as a laboratory because of their high volatility in both bear and bull markets. My main finding is that momentum crashes are not limited to bear markets, and in fact, one third are experienced in bull markets. These crashes do not fit into the optionality model of Daniel and Moskowitz (2016). Instead, I provide evidence that momentum crashes are linked to the market volatility. In volatile states, the optionality payoff of momentum increases and momentum skewness decreases. Furthermore, I show that the poor performance of momentum in EMs is due to the high volatility in these markets. In the second essay, I investigate whether excessive shortselling is the primary cause for momentum crashes. My hypothesis is that the excessive shortselling of the loser stocks pushes their price below their fundamental values. When the market rebounds, the reversal in the price of the losers leads to momentum crash. I collect the data on shortselling policies across countries, and test whether momentum crashes less in markets with shortselling ban, controlling for the market state and volatility. My results show that the crashes are less severe in markets with shortselling ban, suggesting that shortselling partially explains momentum crashes.In the third essay, I study the mutual fund industry in 77 countries and examine how the fund styles are developed on the aggregate level. I apply textual analysis to the fund names in order to classify funds. I find that the 20 most frequently used words appear in over 50% of all fund names and I define 10 categories (“styles”) based on those (and related) words. These 10 categories are sufficient to classify over 85% of all funds. I find that the menu of funds are remarkably universal. My main result shows how the menu of funds offered to investors in those 77 countries converges over time to a common (“global”) menu of funds. I trace this surprisingly simple and uniform process of global menu convergence to the actions of individual fund families who follow similar growth paths. My results shed new light on the aggregate process of financial innovation and the industrial organization of the asset management industry that appears to produce the same “wholesale” menu around the world"--
Three Essays on Asset Allocation and Asset Pricing
Author: Chen CaoPublisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 137
Book Description
Three Essays on Empirical Asset Pricing in International Equity Markets
Author: Birgit Charlotte MüllerPublisher: Springer Gabler
ISBN: 9783658354787
Category : Business & Economics
Languages : de
Pages : 147
Book Description
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Three Essays on Financial Markets and Portfolio Management
Author: Steffen SchaarschmidtPublisher:
ISBN:
Category :
Languages : en
Pages : 130
Book Description