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Essays on Empirical Asset Pricing

This work contains three essays on empirical pricing. In the first essay, I propose to re-examine the evidence on mutual fund managers' illiquidity and volatility timing ability by using a holdings-based approach, which is free from the artificial timing bias occurred in the traditional return-based timing method. Through testing the timing evidence by the holdings approach, I am able to know to what degree the results in the literature are biased by no-information reasons. In the second essay, I investigate mutual fund managers' skills from their reactions to the observable market condition, which is a relatively overlooked dimension in the literature. I propose to distinguish managers' economic motives form their reaction behavior to the public market illiquidity and volatility condition, which brings us new insight into how managers' private incentive affects their investment behaviors. In the third essay, I try to solve the idiosyncratically puzzle in the literature. I show that equity duration plays as a multiple of discount rate news shock and, therefore, affects equity return volatility. I show that the trend of the implied market duration is consistent with the trend of market idiosyncratic volatility as addressed in Campbell et al. (2001).
Date12 July 2016
CreatorsYun, Mu-Shu
ContributorsReichelt, Kenneth J, Rho, Seunghwa, Pace, R. Kelley, Sanger, Gary C., Mo, Haitao
Source SetsLouisiana State University
Detected LanguageEnglish
Rightsunrestricted, I hereby certify that, if appropriate, I have obtained and attached herein a written permission statement from the owner(s) of each third party copyrighted matter to be included in my thesis, dissertation, or project report, allowing distribution as specified below. I certify that the version I submitted is the same as that approved by my advisory committee. I hereby grant to LSU or its agents the non-exclusive license to archive and make accessible, under the conditions specified below and in appropriate University policies, my thesis, dissertation, or project report in whole or in part in all forms of media, now or hereafter known. I retain all other ownership rights to the copyright of the thesis, dissertation or project report. I also retain the right to use in future works (such as articles or books) all or part of this thesis, dissertation, or project report.

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