Search results
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Title
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Essays in Empirical Asset Pricing
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Author
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Mo, Xi
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Date Created
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2021
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Description
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This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. I find that the beta associated with ri...
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Title
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Essays in Empirical Asset Pricing
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Author
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Mo, Xi
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Date Created
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2021
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Subjects--Topical
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Finance
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Description
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This dissertation contains two essays on empirical asset pricing. The first essay tests a two-beta currency pricing model that features betas with risk-premium news and real-rate news of the currency market. I find that the beta associated with ri...
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Title
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Introducing Non-Linearities and Interaction Terms in a Conditional Asset Pricing Model
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Author
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Rask, Kristoffer
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Date Created
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2016
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Subjects--Topical
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Finance, Economics
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Description
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Throughout history of the conditional asset pricing literature the goal has been to find the best possible model to explain what determines a firm’s expected stock return. In Dickson (2015) the variables that prove to be best at explaining a firm’...
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Title
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THREE ESSAYS IN REAL OPTION MODELS OF REAL ESTATE DEVELOPMENT
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Author
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Cheng, Yiying
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Date Created
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2013
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Description
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Real estate developments make great applications for real option theory. However, current real option models for real estate development do not pick up the important features of real estate development such as the land-use right as an on-going lea...
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Title
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THREE ESSAYS IN REAL OPTION MODELS OF REAL ESTATE DEVELOPMENT
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Author
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Cheng, Yiying
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Date Created
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2013
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Subjects--Topical
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Finance
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Description
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Real estate developments make great applications for real option theory. However, current real option models for real estate development do not pick up the important features of real estate development such as the land-use right as an on-going lea...
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Title
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THREE ESSAYS ON CAPITAL INSURANCE AND TOO BIG TO FAIL BANKS
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Author
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Ivanov, Katerina
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Date Created
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2016
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Description
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This research study presents an insurance framework of the bank capital by introducinga new type of capital, namely, an insurance capital. A bank pays the insurancecapital to an entity which injects a pre-determined payout of capital during the pe...
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Title
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THREE ESSAYS ON CAPITAL INSURANCE AND TOO BIG TO FAIL BANKS
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Author
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Ivanov, Katerina
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Date Created
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2016
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Subjects--Topical
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Finance, Banks and banking
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Description
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This research study presents an insurance framework of the bank capital by introducinga new type of capital, namely, an insurance capital. A bank pays the insurancecapital to an entity which injects a pre-determined payout of capital during the pe...
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Title
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Three Essays in Empirical Asset Pricing and Return Predictability
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Author
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Lu, Yueliang
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Date Created
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2023
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Subjects--Topical
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Finance
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Description
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This dissertation contains three essays on empirical asset pricing. The first essay presents the first evidence on how macro trends affect equity risk premium, going beyond the literature that rely on only the most recent values. We show that macr...
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Title
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Three essays in Asset Pricing under Model Uncertainty
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Author
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Jiang, Julia
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Date Created
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2018
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Description
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This dissertation consists of three essays on asset pricing under model uncertainty. The first essay examines how aversion to uncertainty about the information transfer across firms affects asset prices in an equilibrium. I show that a firm's stoc...
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Title
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Three essays in Asset Pricing under Model Uncertainty
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Author
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Jiang, Julia
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Date Created
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2018
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Subjects--Topical
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Finance
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Description
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This dissertation consists of three essays on asset pricing under model uncertainty. The first essay examines how aversion to uncertainty about the information transfer across firms affects asset prices in an equilibrium. I show that a firm's stoc...
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Title
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Three essays on empirical finance
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Author
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Wang, Ruoyang
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Date Created
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2013
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Description
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This dissertation includes 3 papers in empirical finance.In chapter 1, since theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk premium; we empirically investigate the relationship betw...
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Title
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Three essays on empirical finance
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Author
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Wang, Ruoyang
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Date Created
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2013
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Description
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This dissertation includes 3 papers in empirical finance.In chapter 1, since theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk premium; we empirically investigate the relationship betw...
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Title
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Three essays on empirical finance
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Author
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Wang, Ruoyang
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Date Created
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2013
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Subjects--Topical
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Finance
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Description
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This dissertation includes 3 papers in empirical finance.In chapter 1, since theory suggests a relationship between both volatility of volatility, variance risk premium, and the equity risk premium; we empirically investigate the relationship betw...