Thesis advisor: Pierluigi Balduzzi / This dissertation consists of two essays in empirical asset pricing. Chapter I, "Skewness and Co-skewness in Bond Returns," explores skewness and co-skewness in discrete-horizon bond returns. Using data for 1976-2005, we find bond skewness is comparable to that in equities, varies with the holding period and varies over time. Speculative-grade bonds and collateralized securities have substantial negative skewness. The sign of the price of co-skewness risk in fixed income market is in general consistent with the theoretical prediction of the three-moment CAPM. Co-skewness against the market portfolio is priced differently in various bond sectors: taking a unit of co-skewness risk is rewarded with 0.43% and 2.47% per month for corporate bonds and collateralized securities, respectively. Co-skewness risk helps explain the cross section of expected bond returns when state variables such as inflation, real activity, or short term interest rates are included, or when conditioning information is exploited. Chapter II, "Modern Portfolio Management with Conditioning Information," studies models in which active portfolio managers optimize performance relative to a benchmark and utilize conditioning information unavailable to their clients. We provide explicit solutions for the optimal strategies with multiple risky assets, with or without a risk free asset, and also consider various constraints on portfolio risk or on portfolio weights. The equilibrium implications of the models are discussed. A currency portfolio example shows that the optimal solutions improve the measured performance by 53% out of sample, compared with portfolios ignoring conditioning information. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Carroll School of Management. / Discipline: Finance.

Financial market analysis nowadays constitutes an important pillar in central banks' monetary policy considerations. This is because the inherently forward-looking properties of asset prices can provide policy-makers with valuable information about future macroeconomic prospects, as seen through the eyes of investors. The five essays contained in this thesis elaborate upon three separate but complementary topics within the area of financial market research. First, the price discovery process of asset prices following releases of macroeconomic and monetary policy-related news is investigated. Such analysis can help in improving a central bank's understanding of how market participants update their views about future growth and inflation prospects. Second, an attempt is made to identify the factors which explain the time-varying co-movement of bond and stock prices. This analysis reveals that periods of negative correlation between the two assets tend to coincide with periods of very low investor risk appetite. Third, frequency distributions implied by options prices are often employed by central banks to assess the degree of uncertainty prevailing in markets as well as how the perceived balance of risks concerning future asset price movements is tilted. Various methods have been developed to estimate option-implied frequency distributions and the thesis assesses and compares the robustness of two of the most commonly used methods in central banks. / <p>Diss. Stockholm : Handelshögskolan, 2007 S. 9-16: sammanfattning, s. 17-160: 5 uppsatser</p>

過去文獻主要探討會計資訊於股票市場的影響, 少部分國外文獻研究盈餘於債券市場有用性之結果並不一致, 但國內並無相關研究。 本文研究2000年至2008年臺灣上市櫃公司的公司債公開發行市場, 以債券報酬率與債券交易量作為研究會計資訊有用性的度量(metrics), 實證結果證實盈餘發布後, 債券交易量確實增加, 但進一步的分析顯示, 控制不同公司特性與債券特性後, 當期盈餘水準與未預期盈餘皆無法有效地解釋債券報酬率與債券交易量, 對於會計盈餘在債券市場有用性的探討, 尚待未來進一步之研究。 / Prior studies regarding the effects of earnings have been primarily focused within the context of stock markets. The effects on bond markets have been studied considerably less; moreover, what little research that does exist is solely in foreign markets. Two metrics, returns and trading volume, are used to gauge the influence of earnings announcements for Taiwan corporate bonds between 2000 and 2008. Findings suggest that bond trading volume changes positively shortly following earnings announcements. However, after controlling firm and bond characteristics, unexpected earnings and current earnings level can not effectively explain the behavior in bond prices and volume. More research is needed to explain the informativeness of earnings in the corporate bond market.