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Essays on international asset pricing.

Huang, Wei.

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Essays on international asset pricing.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on international asset pricing./
作者:	Huang, Wei.
面頁冊數:	133 p.
附註:	Source: Dissertation Abstracts International, Volume: 62-06, Section: A, page: 2194.
Contained By:	Dissertation Abstracts International62-06A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3015658
ISBN:	9780493264905

Essays on international asset pricing.
Huang, Wei.

Essays on international asset pricing. - 133 p.

Source: Dissertation Abstracts International, Volume: 62-06, Section: A, page: 2194.

Thesis (Ph.D.)--Georgia Institute of Technology, 2001.

This item must not be sold to any third party vendors.

This dissertation includes two independent essays on international asset pricing. The first essay titled "Firm Size, Pricing Regimes and Market Integration" investigates whether the global pricing observed in previous tests is confined to large-cap stocks. A conditional version of international CAPM is tested using the Generalized Method of Moments. The key findings include (1) Large-cap stock indices across countries are cointegrated, whereas small-cap stock indices are not. This implies that large-cap stocks are jointly determined by a common set of driving fundamentals, while small-cap stocks are likely driven by idiosyncratic underlying factors. (2) Large-cap stocks are priced globally, whereas mid-cap and small-cap stocks are not. Specifically, the price of world covariance risk is not significantly different across countries for large-cap stock portfolios. However, it is significantly different for mid-cap and small-cap stock portfolios. (3) While the financial integration in the 1990s has deepened for large-cap stock portfolios in all sample countries, the same happens for mid-cap and small-cap portfolios only in some countries. Overall, our empirical findings indicate that global pricing is confined to large-cap stocks.

ISBN: 9780493264905Subjects--Topical Terms:

542899
Finance.

Essays on international asset pricing.
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520 $a This dissertation includes two independent essays on international asset pricing. The first essay titled "Firm Size, Pricing Regimes and Market Integration" investigates whether the global pricing observed in previous tests is confined to large-cap stocks. A conditional version of international CAPM is tested using the Generalized Method of Moments. The key findings include (1) Large-cap stock indices across countries are cointegrated, whereas small-cap stock indices are not. This implies that large-cap stocks are jointly determined by a common set of driving fundamentals, while small-cap stocks are likely driven by idiosyncratic underlying factors. (2) Large-cap stocks are priced globally, whereas mid-cap and small-cap stocks are not. Specifically, the price of world covariance risk is not significantly different across countries for large-cap stock portfolios. However, it is significantly different for mid-cap and small-cap stock portfolios. (3) While the financial integration in the 1990s has deepened for large-cap stock portfolios in all sample countries, the same happens for mid-cap and small-cap portfolios only in some countries. Overall, our empirical findings indicate that global pricing is confined to large-cap stocks.
520 $a The second essay titled "Asset Pricing in the Nascent Chinese Stock Markets" examines the price formation in the nascent Chinese domestic stock markets. The characteristics of the Chinese stock market are emphasized in the asset-pricing test, in which a time-varying beta for each individual stock is estimated using a bivariate GARCH(1,1)-in-Mean process. Major findings include (1) Beta plays a negligible role in price determination. Instead, total risk is priced. Specifically, investors require higher risk premiums for stocks with higher total risk. (2) There is a strong size premium for small-cap stocks. (3) There are weak effects of negative earnings, but significant effects of positive earnings. (4) Stock ownership restrictions have impact on asset pricing. Specifically, investors require smaller risk premium for companies that simultaneously offer shares to foreign investors. (5) Lastly, other things being equal, investors require higher returns for firms with higher percentage of tradable shares.
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