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Cross-section of equity returns: Sto...

The University of North Carolina at Chapel Hill., Business Administration.

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Cross-section of equity returns: Stock market volatility and priced factors.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Cross-section of equity returns: Stock market volatility and priced factors./
Author:	Sohn, Bumjean.
Description:	109 p.
Notes:	Adviser: Eric Ghysels.
Contained By:	Dissertation Abstracts International70-04A.
Subject:	Business Administration, Banking. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3352921
ISBN:	9781109112610

Cross-section of equity returns: Stock market volatility and priced factors.
Sohn, Bumjean.

Cross-section of equity returns: Stock market volatility and priced factors. - 109 p.

Adviser: Eric Ghysels.

Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2009.

We discuss the nature of risk valid factors should represent. The Campbell's (1993) ICAPM extended with heteroskedastic asset returns guides us to identify the risk; we show that many of empirically well-established factors contain information about the future changes in the investment opportunity set and that is why these factors are strongly priced across assets. Specifically, we show that size, momentum, liquidity (trading strategy based factors), industrial production growth, and inflation (macroeconomic factors) factors as well as both short- and long-run market volatility factors are significantly priced because they all have information about the changes in the future market volatility which characterizes the future investment opportunity set in our model. The time-series studies show that the above-mentioned factors do predict the market volatility and the cross-sectional studies show that these factors are priced due to their predictability on the future market volatility. Both studies are consistent and strongly support the relationship between the stock market volatility and the priced factors. By revealing the nature of risk the empirically well-established factors represent, we provide an explanation why we observe so many empirically strong factors in the literature.

ISBN: 9781109112610Subjects--Topical Terms:

1018458
Business Administration, Banking.

Cross-section of equity returns: Stock market volatility and priced factors.
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020 $a 9781109112610
035 $a (UMI)AAI3352921
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100 1 $a Sohn, Bumjean. $3 1026785
245 1 0 $a Cross-section of equity returns: Stock market volatility and priced factors.
300 $a 109 p.
500 $a Adviser: Eric Ghysels.
500 $a Source: Dissertation Abstracts International, Volume: 70-04, Section: A, page: 1373.
502 $a Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2009.
520 $a We discuss the nature of risk valid factors should represent. The Campbell's (1993) ICAPM extended with heteroskedastic asset returns guides us to identify the risk; we show that many of empirically well-established factors contain information about the future changes in the investment opportunity set and that is why these factors are strongly priced across assets. Specifically, we show that size, momentum, liquidity (trading strategy based factors), industrial production growth, and inflation (macroeconomic factors) factors as well as both short- and long-run market volatility factors are significantly priced because they all have information about the changes in the future market volatility which characterizes the future investment opportunity set in our model. The time-series studies show that the above-mentioned factors do predict the market volatility and the cross-sectional studies show that these factors are priced due to their predictability on the future market volatility. Both studies are consistent and strongly support the relationship between the stock market volatility and the priced factors. By revealing the nature of risk the empirically well-established factors represent, we provide an explanation why we observe so many empirically strong factors in the literature.
590 $a School code: 0153.
650 4 $a Business Administration, Banking. $3 1018458
650 4 $a Economics, Finance. $3 626650
690 $a 0508
690 $a 0770
710 2 $a The University of North Carolina at Chapel Hill. $b Business Administration. $3 1026784
773 0 $t Dissertation Abstracts International $g 70-04A.
790 $a 0153
790 1 0 $a Brown, Gregory $e committee member
790 1 0 $a Colacito, Riccardo $e committee member
790 1 0 $a Conrad, Jennifer $e committee member
790 1 0 $a Ghysels, Eric, $e advisor
790 1 0 $a Lundblad, Christian $e committee member
791 $a Ph.D.
792 $a 2009
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3352921