東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Essays on asset returns and portfoli...

Liu, Linlin.

Linked to FindBook

Google Book

Amazon

博客來

Essays on asset returns and portfolio allocation.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on asset returns and portfolio allocation./
Author:	Liu, Linlin.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
Description:	161 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-12(E), Section: A.
Contained By:	Dissertation Abstracts International77-12A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10142734
ISBN:	9781339980003

Essays on asset returns and portfolio allocation.
Liu, Linlin.

Essays on asset returns and portfolio allocation. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 161 p.

Source: Dissertation Abstracts International, Volume: 77-12(E), Section: A.

Thesis (Ph.D.)--University of Notre Dame, 2016.

In this dissertation, I focus on two broad questions. First, what are the interconnections and the underlying driving forces of stock return and bond yields? Understanding the cross-assets dynamics and their economic determinants is important to both policymakers' and investors' decision-making, since the interest rates and stock return reflect the macroeconomic expectations for the future state of the economy. This leads to my second question: what are the implications of the empirical behavior of asset returns for the optimal decisions made by investors? Along these lines, in the first chapter of the dissertation, I provide an introduction to the development of the asset pricing models and the portfolio allocation models. In the second chapter, I build on the arbitrage-free asset pricing model to simultaneously price U.S. aggregate stock and the cross-section of Treasury bonds, and account for the time-varying equity risk premium and bond risk premium in a unified framework. The model imposes restrictions on the cross-assets dynamics to preclude arbitrage opportunities at any point in time. With the risk factors constructed from the asset return data and macroeconomic data, the model is able to generate considerably small pricing errors for aggregate stock return and Treasury yields. Also, the model-implied equity and bond risk premiums show marked countercyclical patterns. Since a rational utility maximizing investor requires higher compensation for the exposure to risk during recessions, the estimated countercyclical patterns of the risk premiums are consistent with the theoretical models. In the third chapter, I explore whether the horizon based asset allocation strategy, that is popular among investment professionals, is optimal for investors. To do so, I develop a dynamic portfolio choice model that incorporates two sources of risks that investors face: the time-varying equity risk premium and the uncertainty in labor income. The optimal portfolio weight on stock depends on the relative magnitude of the correlation between aggregate stock return and equity risk premium, and the correlation between aggregate stock return and labor income.

ISBN: 9781339980003Subjects--Topical Terms:

542899
Finance.

Essays on asset returns and portfolio allocation.
LDR:03091nmm a2200301 4500 001 2154427
005 20180416072029.5
008 190424s2016 ||||||||||||||||| ||eng d
020 $a 9781339980003
035 $a (MiAaPQ)AAI10142734
035 $a AAI10142734
040 $a MiAaPQ $c MiAaPQ
100 1 $a Liu, Linlin. $3 3342154
245 1 0 $a Essays on asset returns and portfolio allocation.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2016
300 $a 161 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-12(E), Section: A.
500 $a Adviser: Thomas F. Cosimano.
502 $a Thesis (Ph.D.)--University of Notre Dame, 2016.
520 $a In this dissertation, I focus on two broad questions. First, what are the interconnections and the underlying driving forces of stock return and bond yields? Understanding the cross-assets dynamics and their economic determinants is important to both policymakers' and investors' decision-making, since the interest rates and stock return reflect the macroeconomic expectations for the future state of the economy. This leads to my second question: what are the implications of the empirical behavior of asset returns for the optimal decisions made by investors? Along these lines, in the first chapter of the dissertation, I provide an introduction to the development of the asset pricing models and the portfolio allocation models. In the second chapter, I build on the arbitrage-free asset pricing model to simultaneously price U.S. aggregate stock and the cross-section of Treasury bonds, and account for the time-varying equity risk premium and bond risk premium in a unified framework. The model imposes restrictions on the cross-assets dynamics to preclude arbitrage opportunities at any point in time. With the risk factors constructed from the asset return data and macroeconomic data, the model is able to generate considerably small pricing errors for aggregate stock return and Treasury yields. Also, the model-implied equity and bond risk premiums show marked countercyclical patterns. Since a rational utility maximizing investor requires higher compensation for the exposure to risk during recessions, the estimated countercyclical patterns of the risk premiums are consistent with the theoretical models. In the third chapter, I explore whether the horizon based asset allocation strategy, that is popular among investment professionals, is optimal for investors. To do so, I develop a dynamic portfolio choice model that incorporates two sources of risks that investors face: the time-varying equity risk premium and the uncertainty in labor income. The optimal portfolio weight on stock depends on the relative magnitude of the correlation between aggregate stock return and equity risk premium, and the correlation between aggregate stock return and labor income.
590 $a School code: 0165.
650 4 $a Finance. $3 542899
650 4 $a Mathematics. $3 515831
650 4 $a Economic theory. $3 1556984
690 $a 0508
690 $a 0405
690 $a 0511
710 2 $a University of Notre Dame. $3 807615
773 0 $t Dissertation Abstracts International $g 77-12A(E).
790 $a 0165
791 $a Ph.D.
792 $a 2016
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10142734