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Essays on Asset Pricing.

Wang, Xin.

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Essays on Asset Pricing.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Asset Pricing./
Author:	Wang, Xin.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2019,
Description:	108 p.
Notes:	Source: Dissertation Abstracts International, Volume: 80-08(E), Section: A.
Contained By:	Dissertation Abstracts International80-08A(E).
Subject:	Economic theory. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10979343
ISBN:	9781392015612

Essays on Asset Pricing.
Wang, Xin.

Essays on Asset Pricing. - Ann Arbor : ProQuest Dissertations & Theses, 2019 - 108 p.

Source: Dissertation Abstracts International, Volume: 80-08(E), Section: A.

Thesis (Ph.D.)--University of Toronto (Canada), 2019.

This thesis consists of three chapters that empirically investigate issues pertaining to asset pricing.

ISBN: 9781392015612Subjects--Topical Terms:

1556984
Economic theory.

Essays on Asset Pricing.
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245 1 0 $a Essays on Asset Pricing.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2019
300 $a 108 p.
500 $a Source: Dissertation Abstracts International, Volume: 80-08(E), Section: A.
500 $a Adviser: Jordi Mondria.
502 $a Thesis (Ph.D.)--University of Toronto (Canada), 2019.
520 $a This thesis consists of three chapters that empirically investigate issues pertaining to asset pricing.
520 $a In the first chapter, I find evidence of return predictability across intra-industry trading partners in international financial markets. Stock returns of importers significantly predict returns of corresponding exporters at the country-industry level. An investment strategy exploiting this effect generates average abnormal returns exceeding 6% annually. The magnitude of the effect is larger for smaller and less financially sophisticated countries, consistent with the return predictability being driven by frictions in the speed of information diffusion. However, this return cross-predictability cannot be explained by other country characteristics, including capital controls, exchange rate risk, and proxies for investor attention at the aggregate level.
520 $a The second chapter analyzes the role of distance between foreign countries and the U.S. and foreign countries' talent in foreign mutual funds' performance in the U.S. I find that the correlation of distance and talent with returns is negative and positive, respectively. However, the effects are small and not statistically significant. For volatility, the effects are both economically and statistically significant: Distance is positively correlated with returns' standard deviation among mutual funds and with returns' standard deviation over time, while talent is negatively correlated with returns' standard deviation over time.
520 $a The third chapter, co-authored with Jordi Mondria and Thomas Wu, decomposes attention allocation into two components, the familiar and the surprising, with opposite implications for US purchases of foreign stocks. On the one hand, familiarity-induced attention leads to an increase in US holdings of foreign equities. On the other hand, surprise-induced attention is associated with the net selling of foreign stocks because US investors tend to pay more attention to negative than to positive economic surprises from foreign countries. Our findings suggest that information asymmetries between locals and non-locals are more pronounced when it comes to good news, with information regarding bad news being relatively symmetric.
590 $a School code: 0779.
650 4 $a Economic theory. $3 1556984
650 4 $a Finance. $3 542899
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710 2 $a University of Toronto (Canada). $b Economics. $3 3181451
773 0 $t Dissertation Abstracts International $g 80-08A(E).
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792 $a 2019
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10979343