東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

FindBook

Google Book

Amazon

博客來

Two Essays in Financial Economics.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Two Essays in Financial Economics./
作者:	Jo, Evan.
面頁冊數:	1 online resource (166 pages)
附註:	Source: Dissertations Abstracts International, Volume: 84-05, Section: A.
Contained By:	Dissertations Abstracts International84-05A.
標題:	Statistical power. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30157807click for full text (PQDT)
ISBN:	9798352984994

Two Essays in Financial Economics.
Jo, Evan.

Two Essays in Financial Economics. - 1 online resource (166 pages)

Source: Dissertations Abstracts International, Volume: 84-05, Section: A.

Thesis (Ph.D.)--McGill University (Canada), 2022.

Includes bibliographical references

This thesis focuses on the economics of risk: it studies how to measure, price, and trade risk in financial markets. The first paper "Sharper Alpha" aims to provide a better econometric tool for measuring and studying risk premia. Traditional alpha-based tests face substantial estimation noise when applied to individual stocks. The standard approach of forming diversified portfolios reduces this noise, but also incurs the costs of aggregation errors and information loss. I propose a more efficient statistic, a sharper alpha, that directly reduces estimation noise for single stocks. I find that sharper alphas reveal stock-level patterns that were not visible before.In the second paper "A Supply and Demand Approach to Equity Pricing", joint with Sebastien Betermier and Laurent Calvet, we provide a new theoretical framework to analyze how the general equilibrium relation between risk and return is driven by both supply and demand for risky financial capital. The mantra of "high risk high return" in finance takes the point of view of investors, who require higher expected returns to supply more risky capital. Firms, on the other hand, require lower discount rates to demand more risky capital. We explain how the heterogeneity of supply and demand factors determine whether the risk-return relation is positive or negative, consistent with the empirical evidence and a wide range of asset pricing anomalies. We empirically estimate the supply and demand schedules of individual firms using three-stage-least-squares, and show that the risk-return relation is mainly driven by firm demand factors.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798352984994Subjects--Topical Terms:

3698902
Statistical power.
Index Terms--Genre/Form:

542853
Electronic books.

Two Essays in Financial Economics.
LDR:04507nmm a2200337K 4500 001 2358368
005 20230731112631.5
006 m o d
007 cr mn ---uuuuu
008 241011s2022 xx obm 000 0 eng d
020 $a 9798352984994
035 $a (MiAaPQ)AAI30157807
035 $a (MiAaPQ)McGill_9s161c300
035 $a AAI30157807
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Jo, Evan. $3 3698901
245 1 0 $a Two Essays in Financial Economics.
264 0 $c 2022
300 $a 1 online resource (166 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertations Abstracts International, Volume: 84-05, Section: A.
500 $a Advisor: Betermier, Sebastien; Ericsson, Jan Edvard.
502 $a Thesis (Ph.D.)--McGill University (Canada), 2022.
504 $a Includes bibliographical references
520 $a This thesis focuses on the economics of risk: it studies how to measure, price, and trade risk in financial markets. The first paper "Sharper Alpha" aims to provide a better econometric tool for measuring and studying risk premia. Traditional alpha-based tests face substantial estimation noise when applied to individual stocks. The standard approach of forming diversified portfolios reduces this noise, but also incurs the costs of aggregation errors and information loss. I propose a more efficient statistic, a sharper alpha, that directly reduces estimation noise for single stocks. I find that sharper alphas reveal stock-level patterns that were not visible before.In the second paper "A Supply and Demand Approach to Equity Pricing", joint with Sebastien Betermier and Laurent Calvet, we provide a new theoretical framework to analyze how the general equilibrium relation between risk and return is driven by both supply and demand for risky financial capital. The mantra of "high risk high return" in finance takes the point of view of investors, who require higher expected returns to supply more risky capital. Firms, on the other hand, require lower discount rates to demand more risky capital. We explain how the heterogeneity of supply and demand factors determine whether the risk-return relation is positive or negative, consistent with the empirical evidence and a wide range of asset pricing anomalies. We empirically estimate the supply and demand schedules of individual firms using three-stage-least-squares, and show that the risk-return relation is mainly driven by firm demand factors.
520 $a Cette these se concentre sur l'evaluation des actifs et le partage optimal du risque aux marches financiers. Le premier article «Sharper Alpha» vise a fournir un meilleur outil econometrique pour mesurer et etudier les primes de risque. Les tests traditionnels bases sur l'alpha se confrontent au bruit d'estimation lorsqu'ils sont appliques a des actions individuelles. L'approche conventionelle qui utilise des portefeuilles diversifies reduit ce probleme, mais elle induit egalement des erreurs et des pertes d'information. Je propose une statistique plus efficace qui reduit directement l'erreur d'estimation pour les actions individuelles, ce qui revele des relations qui n'etaient pas visibles avant.Dans le deuxieme article «A Supply and Demand Approach to Equity Pricing», en collaboration avec Sebastien Betermier et Laurent Calvet, nous fournissons un cadre theorique pour analyser la facon dont le rapport rendement-risque se determine par l'offre tout comme par la demande dans le contexte des marches financiers. Le concept qu'un actif a risque doit apporter des rendements superieurs est base du point de vue des investisseurs, qui doivent etre remuneres pour le capital fourni. Les entreprises, pour leur part, demandent moins de capital quand leur cout du capital est plus eleve. Nous expliquons comment l'heterogeneite des facteurs de l'offre et la demande determine si la relation entre le rapport rendement-risque est positive ou negative. Nous estimons l'offre et la demande du capital des entreprises en utilisant la methode «three-stage-least-squares» et demontrons que ce rapport rendement-risque est principalement entraine par les facteurs de demande.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Statistical power. $3 3698902
650 4 $a Decomposition. $3 3561186
650 4 $a Investments. $3 566987
655 7 $a Electronic books. $2 lcsh $3 542853
690 $a 0501
710 2 $a ProQuest Information and Learning Co. $3 783688
710 2 $a McGill University (Canada). $3 1018122
773 0 $t Dissertations Abstracts International $g 84-05A.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30157807 $z click for full text (PQDT)