Three Essays on Financial Econometrics and Empirical Finance
Author: Long Kang
Publisher:
Published: 2008
Total Pages: 118
ISBN-13:
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Author: Long Kang
Publisher:
Published: 2008
Total Pages: 118
ISBN-13:
DOWNLOAD EBOOKAuthor: Tse-Chun Lin
Publisher: Rozenberg Publishers
Published: 2009
Total Pages: 146
ISBN-13: 9036101514
DOWNLOAD EBOOKAuthor: Jiang Liang
Publisher:
Published: 2015
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOK"This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential policy ..."--Author's abstract.
Author: Canlin Li
Publisher:
Published: 2002
Total Pages: 143
ISBN-13:
DOWNLOAD EBOOKAuthor: Jianxun Li
Publisher:
Published: 2016
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: Paskalis Teodoros Glabadanidis
Publisher:
Published: 2003
Total Pages: 360
ISBN-13:
DOWNLOAD EBOOKAuthor: Gabriele Lattanzio
Publisher:
Published: 2019
Total Pages: 150
ISBN-13:
DOWNLOAD EBOOKAuthor:
Publisher:
Published: 2014
Total Pages: 0
ISBN-13:
DOWNLOAD EBOOKThis dissertation contains three essays in financial economics. In Chapter 1, motivated by the phenomenon that momentum profits vary substantially across different market states, I develop a model to connect market states and momentum profits, and test the model's empirical implications. The model applies the mechanism of overconfidence and self-attribution bias into a setting of multiple risky assets with correlated payoffs. The model generates a set of implications regarding the relation between market states and returns on the winner, loser, and momentum portfolios. These implications are consistent with empirical patterns in the literature and those newly documented in this chapter. Overall, this chapter unifies momentum, negative momentum profits under certain market states, and long-run reversals. In Chapter 2, I examine the strategic role of cash in industries with significant R&D, and the variation of cash holdings and R&D intensity across such industries. In the model, firms compete to innovate but must also finance to bring innovations to the market. The first successful launcher of a new product enjoys an advantage. Outside financing takes time. Cash holdings, R&D intensity, and industry concentration are determined endogenously in equilibrium. Both cash holdings and R&D intensity increase with the winner's advantage and time delay in outside financing, and decrease with entry costs. Empirical patterns of industry cash holdings and R&D intensity support the model predictions. In Chapter 3, I document that the TED spread is a significant negative predictor of value premium. Over 1990 to 2011, a 1% increase in lagged TED spread predicts a 3.3% decrease of CAPM-adjusted value premium, with an R-squared value of 8.2%. I then argue that this finding is consistent with the mechanism that equity expected returns become lower under tighter credit conditions through shareholders' strategic default. I incorporate this mechanism into a simple model of a levered firm and derive more testable hypotheses. Consistent with these hypotheses, I further find that the negative relationship between value premium and lagged TED spread comes mainly from value stocks, stocks with lower credit ratings, stocks with lower cash flows, and stocks with higher shareholders' bargaining power and higher liquidation costs.
Author: Marek Kolar
Publisher:
Published: 2008
Total Pages: 362
ISBN-13:
DOWNLOAD EBOOKAuthor: Thomas H. Noe
Publisher:
Published: 1987
Total Pages: 370
ISBN-13:
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