[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.

This thesis examines empirical and theoretical issues related to the role of uninsurable individual risk and heterogeneity in macroeconomics. The thesis includes four chapters. The first chapter uses data from the Panel Study of Income Dynamics (PSID) to test full risk-sharing among North American households. The second chapter is a short essay where I use simulated data to show how the method applied in the previous chapter can be used to distinguish between partial risk sharing and imperfect credit markets. The third chapter develops a heterogeneous agent dynamic general equilibrium model which jointly models aggregate saving and employment. Finally, the fourth chapter investigates empirically the ability of financial market incompleteness to help explaining the equity premium puzzle. The central motivation throughout this dissertation is the recognition that the interaction between cross-sectional volatility and aggregate volatility is of fundamental importance to understand the way we should model macroeconomic aggregates such as aggregate consumption, asset prices and business cycle fluctuations.<p><p> / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished

This dissertation contains three chapters. The first chapter, Strategic Alliance and Endogenous Production Network, examines how U.S. firms’ involvement in strategic alliances interacts with their endogenous choice of production networks. The results reveal that the alliance firm is more likely to actively create and break supply chains, especially with customers or suppliers from the industries within the alliance-related industrial scope. Moreover, such interactions are stronger when the updated customers and suppliers have closer proximity to the alliance-related industries. To rationalize these stylized findings, we develop a model featured with the firm’s endogenous searching of supplier candidates and endogenous input sourcing strategy. Furthermore, strategic alliance is introduced as a mitigation of friction in candidate searching. The model implies that the strategic alliance could encourage the firm’s search for supplier candidates and boost the adding and dropping of production networks simultaneously. The second chapter, R&D, Risk Premia, and Credit Spreads, is motivated by the empirical evidence that among the U.S. firms with both publicly traded equity and bonds, the R&D-intensive ones tend to show higher expected equity returns, but lower leverage, default rates and credit spreads than R&D-non-intensive ones. To provide a unified explanation for these cross-sectional differences, we propose a production-based dynamic stochastic general equilibrium model featured with long-run risk and disaster risk. Specifically, we assume that the economy consists of an R&D and non-R&D sector. When involved in innovation, the R&D sector is assumed to face a rare disaster shock in the accumulation of the intangible R&D capital. The model implies that the high monopolistic rent increases the market value of R&D sector and generates a lower default rate and credit spread compared to the non-R&D sector. Besides, despite the low leverage capacity restricted by the non-collateralizable intangible capital, the business risk underlying the innovative activities plays a dominant role and results in an overall higher equity return of the R&D sector. Moreover, the model generates sizable heterogeneity in the quantities of interest between the R&D and non-R&D sector as observed from the data, and fits the aggregate macroeconomic and asset pricing moments reasonably well. The third chapter, Measuring Common and Industry-Specific Uncertainty: A Bayesian Approach, estimates the measures of the common and industry-specific uncertainty from U.S. quarterly industry-level financial characteristics by a Bayesian dynamic factor model. In this model, we assume that the industrial financial characteristics are driven by common and industry-specific factors that evolve by VAR processes, where the time-varying standard deviation of the corresponding innovation terms are considered as proxies of common and industrial uncertainty. Then, we compare the estimated common uncertainty measure with three existing aggregate uncertainty measures. The results suggest that our measure interacts with real economy and tracks the business cycles like the other three measures. Moreover, we test if these uncertainty measures could forecast the stock returns of industrial portfolios together with other moments estimated from the model. The results suggest that a time-varying linear forecasting model of the uncertainty measures performs well in return forecasting both in short and long run for most of the industries.

published_or_final_version / Statistics and Actuarial Science / Doctoral / Doctor of Philosophy

published_or_final_version / Urban Planning / Master / Master of Science in Urban Planning

The Best PhD Thesis in the Faculties of Architecture, Arts, Business & Economics, Education, Law and Social Sciences (University of Hong Kong), Li Ka Shing Prize, 2006-2007. / published_or_final_version / abstract / Real Estate and Construction / Doctoral / Doctor of Philosophy

M.Com. (Econometrics) / The main objective of this study was to formulate and evaluate a set of equations that adequately represents the South African monetary system. The analytical framework of the study is based on a theoretical examination of the process of formulating monetary policy. The main objectives of monetary policy was identified as price stability, a high rate of economic growth, exchange rate stability and an acceptable balance of payments situation. The achievement of these goals is dependent on the central bank's choice of target variables and policy instruments. The monetary system of South Africa was analysed by examining the various goals, target variables and policy instruments that constitute the South African Reserve Bank's monetary policy. The nature and impact of the new banking legislation which was introduced in South Africa on 1 February 1991 when the Deposit-taking Institutions Act of 1990 came into effect, was also discussed in the study. As a result of the high level of abstraction of the monetary phenomenon and the dynamic and interdependent nature of monetary policy, econometric and statistical techniques and criteria were used to evaluate certain aspects of the South African monetary system.

The implementation of a recently suggested class of structural change tests, which test for parameter instability in general parametric models, in the R language for statistical computing is described: Focus is given to the question how the conceptual tools can be translated into computational tools that reflect the properties and flexiblity of the underlying econometric metholody while being numerically reliable and easy to use. More precisely, the class of generalized M-fluctuation tests (Zeileis & Hornik, 2003) is implemented in the package strucchange providing easily extensible functions for computing empirical fluctuation processes and automatic tabulation of critical values for a functional capturing excessive fluctuations. Traditional significance tests are supplemented by graphical methods which do not only visualize the result of the testing procedure but also convey information about the nature and timing of the structural change and which component of the parametric model is affected by it. / Series: Research Report Series / Department of Statistics and Mathematics

Data described by econometric models typically contains autocorrelation and/or heteroskedasticity of unknown form and for inference in such models it is essential to use covariance matrix estimators that can consistently estimate the covariance of the model parameters. Hence, suitable heteroskedasticity-consistent (HC) and heteroskedasticity and autocorrelation consistent (HAC) estimators have been receiving attention in the econometric literature over the last 20 years. To apply these estimators in practice, an implementation is needed that preferably translates the conceptual properties of the underlying theoretical frameworks into computational tools. In this paper, such an implementation in the package sandwich in the R system for statistical computing is described and it is shown how the suggested functions provide reusable components that build on readily existing functionality and how they can be integrated easily into new inferential procedures or applications. The toolbox contained in sandwich is extremely flexible and comprehensive, including specific functions for the most important HC and HAC estimators from the econometric literature. Several real-world data sets are used to illustrate how the functionality can be integrated into applications. / Series: Research Report Series / Department of Statistics and Mathematics

In this thesis, return to health is also estimated. We examine the effects of height on hourly wage, monthly earnings, working hours, and education level. Our results show that height has different causal impacts on women and men. Women benefit from height: taller women earn more, work less, and have more leisure time. However, taller men are more likely to land a job and work longer, largely because they are better endowed. Moreover, the positive effect of height on hourly wage for women is larger than that for men. In general, the findings have contributed new evidence to existing literature that estimates the return to health. / This thesis mainly investigates the intergenerational transmission of socioeconomic status. Specifically, it estimates the effects of family income and parental education on the health status and educational attainment of the next generation using unique twins data collected from urban China. By using twins strategy, we can largely control for unobservables, which may cause biases in estimations. Our results show that the positive correlations of family income and maternal education with child health are largely due to unobserved endowment and family background. However, family income and paternal education do have a positive effect on child education. Overall, our findings suggest that increasing family income and parental schooling do not help in improving child health. However, to reduce the educational gap of the next generation, redistributing income would prove beneficial. The design of government policies is dependent on the policy targets. / Xiong, Yanyan. / Advisers: Hongbin Li; Junsen Zhang. / Source: Dissertation Abstracts International, Volume: 70-06, Section: A, page: 2176. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references. / 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, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [201-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.