Essays in Empirical Asset Pricing and Investments
Author | : Lukas Zimmermann |
Publisher | : |
Total Pages | : |
Release | : 2020* |
Genre | : |
ISBN | : |
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Author | : Lukas Zimmermann |
Publisher | : |
Total Pages | : |
Release | : 2020* |
Genre | : |
ISBN | : |
Author | : Christian Funke |
Publisher | : Springer Science & Business Media |
Total Pages | : 123 |
Release | : 2008-09-15 |
Genre | : Business & Economics |
ISBN | : 3834998141 |
Christian Funke aims at developing a better understanding of a central asset pricing issue: the stock price discovery process in capital markets. Using U.S. capital market data, he investigates the importance of mergers and acquisitions (M&A) for stock prices and examines economic links between customer and supplier firms. The empirical investigations document return predictability and show that capital markets are not perfectly efficient.
Author | : Dongna Zhang |
Publisher | : |
Total Pages | : |
Release | : 2019 |
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ISBN | : |
Author | : Andres Ayala |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
This dissertation is composed of three essays which examine different topics in empirical asset pricing. Chapter 1 is the result of joint work with Andrew Ang and William Goetzmann. First, we document that American university and college endowments have shifted their asset allocations from stocks to alternative investments. By the end of the sample, the average endowment holds close to one third of its portfolios in private equity and hedge funds. What are the expectations of future returns that can explain these changes in portfolio holdings? Fitting a simple asset allocation model using Bayesian methods, we estimate that at the end of 2012, the average university expects its private equity investments to outperform a portfolio of conventional assets by 3.9% per year and hedge funds to outperform by 0.7% per year. These out-performance beliefs have increased over time, reaching their peak at the end of our sample. There is also significant cross-sectional heterogeneity in our results.
Author | : John Robert Vogel |
Publisher | : |
Total Pages | : 242 |
Release | : 2014 |
Genre | : Assets (Accounting) |
ISBN | : |
This dissertation includes three essays of empirical asset pricing. In the first essay, The Value/Growth Anomaly and Hard to Value Firms, I show that combining quality signals (firm fundamentals) and hard to value measures increases the return spread between value and growth portfolios. A portfolio that is long high quality value firms that are hard to value and short low quality growth firms that are hard to value yields a 4-factor alpha of up to 1.41% per month. Second, ex-ante observed quality signals are better at predicting high performance and low performance growth stocks as compared to value stocks. This growth stock mispricing can be explained by extreme quality measures, and enhanced by focusing on hard to value growth firms. In the second essay, Using Maximum Drawdowns to Capture Tail Risk, I, along with my co-author Wesley R. Gray, propose the use of maximum drawdown, the maximum peak to trough loss across a time series of compounded returns, as a simple method to capture an element of risk unnoticed by linear factor models: tail risk. Unlike other tail-risk metrics, maximum drawdown is intuitive and easy-to-calculate. We look at maximum drawdowns to assess tail risks associated with market neutral strategies identified in the academic literature. Our evidence suggests that academic anomalies are not anomalous: all strategies endure large drawdowns at some point in the time series. Many of these losses would trigger margin calls and investor withdrawals, forcing an investor to liquidate. In the third essay, Analyzing Valuation Measures: A Performance Horse Race over the Past 40 Years, I, along with my co-author Wesley R. Gray, show that EBITDA/TEV has historically been the best performing valuation metric and outperforms many investor favorites such as price-to-earnings, free-cash-flow to total enterprise value, and book-to-market. We also explore the investment potential of long-term valuation ratios, which replaces one-year earnings with an average of long-term earnings. In contrast to prior empirical work, we find that long-term ratios add little investment value over standard one-year valuation metrics.
Author | : Birgit Charlotte Müller |
Publisher | : Springer Gabler |
Total Pages | : 147 |
Release | : 2021-08-20 |
Genre | : Business & Economics |
ISBN | : 9783658354787 |
In this Open-Access-book three essays on empirical asset pricing in international equity markets are presented. Despite being of fundamental economic and scientific importance, international financial markets have remained considerably underresearched until today. In the first essay, the role of firm-specific characteristics is analyzed for the momentum effect to exist in international equity markets. The second essay investigates the validity, persistence, and robustness of the newly discovered capital share growth factor across international equity markets as proposed by Lettau et al. (2019) for the U.S. market. Lastly, the third and final essay studies stock market reactions of European vendor banks to distressed loan sale announcements.
Author | : Alexander Maxwell Dickerson |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Sara Mohamed Amin Hosney Elsayed |
Publisher | : |
Total Pages | : |
Release | : 2020 |
Genre | : |
ISBN | : |
Author | : Wenqing Wang |
Publisher | : |
Total Pages | : 342 |
Release | : 2004 |
Genre | : Investments |
ISBN | : |
Author | : Liang Zhang |
Publisher | : |
Total Pages | : 206 |
Release | : 2008 |
Genre | : Stocks |
ISBN | : |