Essays on Empirical Asset Pricing and Private Equity
Author | : Rasmus Jørgensen |
Publisher | : |
Total Pages | : |
Release | : 2022 |
Genre | : |
ISBN | : 9788775680580 |
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Author | : Rasmus Jørgensen |
Publisher | : |
Total Pages | : |
Release | : 2022 |
Genre | : |
ISBN | : 9788775680580 |
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 | : Steffen Windmüller |
Publisher | : |
Total Pages | : |
Release | : 2021 |
Genre | : |
ISBN | : 9783754155042 |
Author | : Lukas Zimmermann |
Publisher | : |
Total Pages | : |
Release | : 2020* |
Genre | : |
ISBN | : |
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 | : 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 | : Lorne Dwight Johnson |
Publisher | : |
Total Pages | : 198 |
Release | : 2000 |
Genre | : Assets (Accounting) |
ISBN | : |
Author | : Junyan Shen |
Publisher | : |
Total Pages | : 0 |
Release | : 2016 |
Genre | : |
ISBN | : |
Author | : Yangqiulu Luo |
Publisher | : |
Total Pages | : |
Release | : 2013 |
Genre | : Finance |
ISBN | : |
This dissertation consists of two essays on empirical asset pricing. The first essay examines if the idiosyncratic risk is priced. Theories such as Merton (1987) predict that idiosyncratic risk should be priced when investors do not diversify their portfolio. However, the previous literature has presented a mixed set of results of the pricing of idiosyncratic risk. We find strong evidence that idiosyncratic risk is priced differently across bull and bear markets. For the sample period from June 1946 to the end of 2010, a factor portfolio long on stocks with high idiosyncratic volatility and short on stocks with low idiosyncratic volatility yields an equal-weighted monthly return of 1.59% for bull markets but -1.29% for bear markets. These evidences support the hypothesis that investors are rewarded for betting on individual stocks during bull markets and holding more diversified portfolios during bear markets. The second essay examines the role of the limits to arbitrage in the negative effect of liquidity on subsequent stock returns. I hypothesize that if the negative effect persists because of the limits to arbitrage, the effect should be more pronounced when there are more severe limits to arbitrage. My empirical evidence supports the hypothesis. In addition, I find that the effect of the limits to arbitrage on the liquidity anomaly is not correlated to the liquidity risk.
Author | : Liang Zhang |
Publisher | : |
Total Pages | : 206 |
Release | : 2008 |
Genre | : Stocks |
ISBN | : |