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The CAPM approach to materiality /Hadjieftychiou, Aristarchos. January 1993 (has links)
Thesis (M. Acct.)--Virginia Polytechnic Institute and State University, 1993. / Vita. Abstract. Includes bibliographical references (leaves 52-53). Also available via the Internet.
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Asset pricing dynamics in a fragile economy theory and evidence /Yoeli, Uziel. Chapman, David A., Titman, Sheridan, January 2004 (has links) (PDF)
Thesis (Ph. D.)--University of Texas at Austin, 2004. / Supervisors: David Chapman and Sheridan Titman. Vita. Includes bibliographical references.
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An empirical analysis of factor seasonalitiesLi, Ya 22 August 2017 (has links)
I establish the existence of seasonality in 42 popular risk factors in the asset pricing literature. I document extensive empirical evidence for the Keloharju et al. (2016) hypothesis that seasonalities in individual asset returns stem from their exposures to risk factors. It is the seasonal patterns in risk factors that lead to the seasonalities in individual asset portfolios. The empirical findings show that seasonalities are widely present among individual asset portfolios. However, both the all-factor model and the Fama-French (2014) five-factor model demonstrate that these patterns greatly disappear after I eliminate their exposures to the corresponding risk factors. Overall, 76.17% of the returns on 235 test equal-weighted portfolios I examine contain seasonality. My key finding is that 48.68% of equal-weighted portfolio returns with seasonalities no longer contain seasonality after I control for their exposures to all risk factors. Only 52.08% of the equal-weighted portfolio Fama-French five-factor model residual obtain substantial seasonal patterns in the Wald test. Regarding to seasonalities in risk factors, specific seasonal patterns include the January effect, higher returns during February, March, and July, and autocorrelations at irregular lags. The Wald test, a stable seasonality test, the Kruskal-Wallis chi-square test, a combined seasonality test, Fisher's Kappa test, and Bartlett's Kolmogorov-Smirnov test are used to identify the seasonal patterns in individual risk factors. Fama-French SMB (the size factor) and HML (the value factor) in the three-factor model, Fama-French RMW (the operating profitability factor) in the five-factor model, earnings/price, cash flow/price, momentum, short-term reversal, long-term reversal, daily variance, daily residual variance, growth rate of industrial production (value-weighted), term premium (equal-weighted and value-weighted), and profitability display robust seasonalities. Therefore, the first part of the research confirms that risk factors possess substantial seasonal patterns.
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Two essays on asset pricing and options marketZhao, Huimin, 趙慧敏 January 2008 (has links)
published_or_final_version / Economics and Finance / Doctoral / Doctor of Philosophy
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Essays on international financial market and asset pricing. / CUHK electronic theses & dissertations collectionJanuary 2009 (has links)
This dissertation consists of four chapters. The first chapter developed a new warning system for international currency crises. The existing crisis indicators in the literature are essentially static. We examine the relationship between the foreign reserves dynamics and currency crises. It is shown that rapid reserve depletion is a prominent feature before the collapse of the exchange rate system. Our model provides clear warning signals for policy makers to take actions before the reserves has reached a critical value that heralds the arrival of a full-blown crisis. The second chapter employed a competing risk model to investigate the crisis-driven exit and orderly exit from fixed exchange rate regime for the period 1972-2001. It is found that the time spent within a regime is itself a significant determinant of the probability of an exit. Different types of exits exhibit different patterns of duration dependence. Crisis-driven exits have a positive duration dependence pattern while orderly exits show a negative duration dependence pattern, even after controlling for country specific characteristics and unobserved heterogeneity. The Competing Risk model yields several interesting results. It is found that the more open the economy, the lower the likelihood of leaving an exchange rate peg, and that the higher the trade concentration, the lower the probability of an orderly exit. Further, financial openness increases the probability of having an orderly exit. There is also strong evidence that a lower reserve growth rate and the incidence of bank crisis are associated with a higher likelihood of crisis driven exits. The third chapter examines whether the gains from incentive realignment have driven corporations out of the public security market. It is shown that going private transactions are due to the reduction in the diversification gains from the public market. For firms whose managers own most equity and are highly leveraged, they have low incentive gains prior to the public-to-private transaction. Such firms go private because of financial distress and dwindling profitability. These kinds of going-private activities are counter-cyclical. On the other hand, a financially healthy firm with a low managerial ownership has high anticipated incentive gains. The gain from incentive realignment is the dominant factor for these going-private transactions. Such firms go private because of an increase in profitability or an improvement in financial distress. We show that these going-private activities are pro-cyclical. The fourth chapter investigates the sources of economy fluctuations in China since its economic reform in 1978. Under the framework of a standard neoclassical open economy model with time-varying frictions (wedge), we study the relative importance of efficiency, labor, investment and foreign debt wedges on recent business cycles phenomena in China. The business accounting procedure suggests that productivity best explains the behavior of aggregate economic variables in China throughout the 1978-2006 periods. Labor wedge plays a major role in explaining the movement of labor enforcement. Foreign debt wedge and investment wedge primarily affect the composition of output between consumption, investment and trade balance, and have a modest role in explaining the fluctuation of output. Our results imply that the reform on inefficiency factor utilization and labor market rigidity should be a focus of future government policies. / He, Qing. / Adviser: Tai Leung Chong. / Source: Dissertation Abstracts International, Volume: 71-01, Section: A, page: 0276. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 129-143). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese.
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Dynamic portfolio optimization & asset pricing : Martingale methods and probability distortion functionsHamada, Mahmoud, Actuarial Studies, Australian School of Business, UNSW January 2001 (has links)
This dissertation consist of three contributions to financial and insurance mathematics. The first part considers numerical methods for dynamic portfolio optimisation in the expected utility model. The aim is to compare the risk-neutral computational approach (RNCA) also known as the martingale approach to stochastic dynamic programming (SDP) in a discrete-time setting. The main idea of the RNCA is to use the completeness and the arbitrage free properties of the market to compute the optimal consumption rules and then determine the trading strategy that finance this optimal consumption. In contrast, SDP solves for the optimal consumption and investment rules simultaneously using backward recursion and the principle of optimality. The setting that we consider is a discrete time and state space lattice. We provide some new theoretical results relating to the Hyperbolic Absolute Risk Aversion class of utility functions as well as propose a straightforward implementation of RNCA in binomial and trinomial lattices. Moreover, instead of discretizing the Hamilton-Jacobi-Bellman equation with possibly more than one state variable, we use symbolic algorithms to implement stochastic dynamic programming. This new approach provides a simpler numerical procedure for computing optimal consumption-investment policies. A comparison of the RNCA with SDP demonstrates the superiority of the RNCA in terms of computation. The second part considers the pricing of contingent claims using an approach developed and applied in applied in insurance. This approach utilize probability distortion functions as the dual of the utility functions used in financial theory. The main idea of the dual theory is to distort the subjective probabilities rather than outcomes to express the investor????????s risk aversion. In the first part, the RNCA for asset allocation uses the same principle as risk-neutral valuation for derivative pricing. The idea of the second part of this research is to show that the risk-neutral valuation can be recovered from the probability distortion function approach, thereby establishing consistency between the insurance and the financial approaches. We prove that pricing contingent claims under the real world probability measure using an appropriate distortion operator produces arbitrage-free prices when the underlying asset prices are log-normal. We investigate cases when the insurance-based approach fails to produce arbitrage-free prices and determine the appropriate distortion operator under more general assumptions than those used in Black-Scholes option pricing. In the third part we introduce dynamic portfolio optimisation with risk measures based on probability distortion function and provide a formal treatment of this class of risk measures. We employ the RNCA to study the consumption-investment problem in discrete time with preferences consistent with Yaari????????s dual (non-expected utility) theory of choice. As an application, we first consider risk measures based on the Proportional Hazard Transform that treats the upside and downside of the risk differently and secondly a risk measure based on the standard Normal cumulative distribution function. When the objective is to maximise a dual utility of wealth, and the underlying security returns are normal, the efficient frontier is found to be the same as in the mean-variance portfolio problem for an equivalent risk tolerance. When the objective is to maximise a dual utility of consumption, then ????????plunging???????????? behaviour occurs ( investing everything is the risky asset). Other properties of the optimal consumption-investment policies in the dual theory are also investigated and discussed.
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An empirical investigation of the intertemporal capital asset pricing model under expected inflation /Loo, Ching-Hsing Fan, January 1984 (has links)
Thesis (Ph. D.)--Ohio State University, 1984. / Includes vita. Includes bibliographical references (leaves 100-104). Available online via OhioLINK's ETD Center.
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Path-dependence in expected inflation : evidence from a new term-structure model /Yared, Francis Bechara January 1999 (has links)
Thesis (Ph. D.)--University of Chicago Graduate School of Business, August 1999. / Includes bibliographical references. Also available on the Internet.
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Is the Fama-French three-factor model better than the CAPM? /Lam, Kenneth. January 2005 (has links)
Project (M.A.) - Simon Fraser University, 2005. / Project (Dept. of Economics) / Simon Fraser University. Also issued in digital format and available on the World Wide Web.
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Overreaction in trading : evidence from the intraday trading of SPDRs /Morscheck, Justin David. January 2008 (has links)
Thesis (M.S.)--University of Nevada, Reno, 2008. / "December, 2008." Includes bibliographical references (leaves 23-24). Library also has microfilm. Ann Arbor, Mich. : ProQuest Information and Learning Company, [2009]. 1 microfilm reel ; 35 mm. Online version available on the World Wide Web.
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