Author: Guillermo MolochePublisher:
ISBN: 9781303423253
Category :
Languages : en
Pages : 118
Book Description
This thesis contains two independent chapters, the first on financial econometrics and the second on financial economics.
Two Essays on the Theory and the Econometrics of Finance
Author: Guillermo MolochePublisher:
ISBN: 9781303423253
Category :
Languages : en
Pages : 118
Book Description
This thesis contains two independent chapters, the first on financial econometrics and the second on financial economics.
Two Essays in Financial Econometrics
Author: Yang YuTwo Essays on Financial Economics
Author: Tuckchung LeeTwo Essays in Financial Economics
Author: Harvey Birtill Westbrook (Jr.)Publisher:
ISBN:
Category :
Languages : en
Pages : 252
Book Description
Two Essays in Financial Economics
Author: Bo LiuTwo Essays in Financial Economics
Author: Evan JoPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
"This thesis focuses on the economics of risk: it studies how to measure, price, and trade risk in financial markets. The first paper "Sharper Alpha" aims to provide a better econometric tool for measuring and studying risk premia. Traditional alpha-based tests face substantial estimation noise when applied to individual stocks. The standard approach of forming diversified portfolios reduces this noise, but also incurs the costs of aggregation errors and information loss. I propose a more efficient statistic, a sharper alpha, that directly reduces estimation noise for single stocks. I find that sharper alphas reveal stock-level patterns that were not visible before. In the second paper "A Supply and Demand Approach to Equity Pricing", joint with Sebastien Betermier and Laurent Calvet, we provide a new theoretical framework to analyze how the general equilibrium relation between risk and return is driven by both supply and demand for risky financial capital. The mantra of "high risk high return" in finance takes the point of view of investors, who require higher expected returns to supply more risky capital. Firms, on the other hand, require lower discount rates to demand more risky capital. We explain how the heterogeneity of supply and demand factors determine whether the risk-return relation is positive or negative, consistent with the empirical evidence and a wide range of asset pricing anomalies. We empirically estimate the supply and demand schedules of individual firms using three-stage-least-squares, and show that the risk-return relation is mainly driven by firm demand factors"--
Two Essays in Financial Economics
Author: Suhas SahaTwo Essays in Financial Economics
Author: Judy Lynn SheltonPublisher:
ISBN:
Category : Capital
Languages : en
Pages : 88
Book Description
Two Essays in Financial Economics
Author: Eric John OsmerThe Theory of Money and Financial Institutions
Author: Martin ShubikPublisher: MIT Press
ISBN: 9780262693110
Category : Business & Economics
Languages : en
Pages : 472
Book Description
This first volume in a three-volume exposition of Shubik's vision of "mathematical institutional economics" explores a one-period approach to economic exchange with money, debt, and bankruptcy. This is the first volume in a three-volume exposition of Martin Shubik's vision of "mathematical institutional economics"--a term he coined in 1959 to describe the theoretical underpinnings needed for the construction of an economic dynamics. The goal is to develop a process-oriented theory of money and financial institutions that reconciles micro- and macroeconomics, using as a prime tool the theory of games in strategic and extensive form. The approach involves a search for minimal financial institutions that appear as a logical, technological, and institutional necessity, as part of the "rules of the game." Money and financial institutions are assumed to be the basic elements of the network that transmits the sociopolitical imperatives to the economy. Volume 1 deals with a one-period approach to economic exchange with money, debt, and bankruptcy. Volume 2 explores the new economic features that arise when we consider multi-period finite and infinite horizon economies. Volume 3 will consider the specific role of financial institutions and government, and formulate the economic financial control problem linking micro- and macroeconomics.