Thesis (Ph. D.)--University of Texas at Austin, 2003. / Vita. Includes bibliographical references.

Thesis (M.B.A.)--University of Hong Kong, 1998. / Includes bibliographical references (leaf 51-52).

Thesis (LL. M.)--McGill University, 2000. / Includes bibliographical references (leaves 128-135).

Thesis (M. A.)--University of Hong Kong, 2006. / Title proper from title frame. Also available in printed format.

Thesis (Ph. D.)--University of Washington, 2006. / Vita. Includes bibliographical references (leaves 166-174).

Thesis (M.A.)--Guo li zheng zhi da xue.

Thesis--Nederlandsche Economische Hoogeshool, Rotterdam. / eContent provider-neutral record in process. Description based on print version record. Bibliography: p. [159-160].

The proposed thesis comprises two essays on international investment. Each essay proposes a new theory and provides empirical evidence. The first essay develops a three-moment international asset-pricing model (TM-IAPM) under full integration and deviations from purchasing power parity (PPP) that prices coskewness. The model also embeds the standard IAPMs as special cases when explicit restrictions are imposed. We further apply the model to investigate the time-series behavior of market, size, value, and momentum premiums in the United States, Japan, and the United Kingdom equity markets. We find that the model explains most of the variation of these premiums during the 1980s and 1990s and that the coskewness risk is more important than covariance risk. We also find that the model performs well out-of-sample. The direct implication of our result is that linear IAPMs are misspecified and that investors should use nonlinear models to price international assets. The second essay proposes a way to disentangle the test of market efficiency from the test of the postulated equilibrium model. Indeed, the efficient market hypothesis, which stipulates that prices fully reflect available information, is one of the most important building blocks in finance and economics. Unfortunately, there is no consensus on this important issue since the methodologies used to test market efficiency are subject to the well-established joint-hypothesis problem. We derive three propositions that build on the well-known Sharpe ratios with the specific aim to split the test from the joint-hypothesis into two separate tests. We apply the new approach to examine the efficiency of the United States, Japan, and the United Kingdom markets over the period 1981-2000. Our results suggest that the rejection of the efficient market hypothesis may be premature. We thoroughly discuss the bias underlying the traditional approaches and propose a way to solve the problems.

Thesis (MBus) -- Auckland University of Technology, 2003. / Also held in print (53 leaves, 30 cm.) in Wellesley Theses Collection (T 332.673 LAP)

Thesis (Ph.D.)--George Mason University, 2008. / Vita: p. 159. Thesis director: Carlos Ramírez. Submitted in partial fulfillment of the requirements for the degree of Doctor of Philosophy in Economics. Title from PDF t.p. (viewed July 3, 2008). Includes bibliographical references (p. 151-158). Also issued in print.