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Essays in Financial Economics.

Chernyakov, Alexander.

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Essays in Financial Economics.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in Financial Economics./
Author:	Chernyakov, Alexander.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2016,
Description:	140 p.
Notes:	Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.
Contained By:	Dissertation Abstracts International79-02A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10663770
ISBN:	9780355304558

Essays in Financial Economics.
Chernyakov, Alexander.

Essays in Financial Economics. - Ann Arbor : ProQuest Dissertations & Theses, 2016 - 140 p.

Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.

Thesis (Ph.D.)--Harvard University, 2016.

This dissertation consists of three essays: Chapters 1 and 2 focus on the impact of cognitive and institutional constraints on stock market efficiency while Chapter 3 examines whether shocks to the real interest rate are a priced state variable.

ISBN: 9780355304558Subjects--Topical Terms:

542899
Finance.

Essays in Financial Economics.
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245 1 0 $a Essays in Financial Economics.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2016
300 $a 140 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-02(E), Section: A.
500 $a Adviser: John Y. Campbell.
502 $a Thesis (Ph.D.)--Harvard University, 2016.
520 $a This dissertation consists of three essays: Chapters 1 and 2 focus on the impact of cognitive and institutional constraints on stock market efficiency while Chapter 3 examines whether shocks to the real interest rate are a priced state variable.
520 $a Chapter 1 is titled "Commodity Inattention": attention is a scarce resource for investors that must be divided among many sources of information. The commodities market is an important source of information affecting firms that operate in the economy. Investors do not fully appreciate this relationship allowing for predictability in equity returns using commodity returns. A strategy that exploits this predictability has an alpha of 1.5% per month and no meaningful factor exposure. This effect is stronger in smaller firms, firms that tend to be ignored by their owners, firms owned by investors who ignore commodity information, firms with nuanced commodity exposure and during times of high informational burden for investors.
520 $a Chapter 2 is titled "Market Crash Risk and Slow Moving Capital": index option skew (risk reversal) is a variable commonly looked at by investors to assess market conditions. In the cross-section, value stocks and junk bonds do poorly when the price of risk reversals increases. However, investors are slow to fully incorporate this information into prices leading to significant predictability in value vs. growth stocks as well as junk vs. investment grade bonds. This predictability is economically significant and poses a challenge to strictly rational models of information processing by investors.
520 $a Chapter 3 is titled "Is Real Interest Rate Risk Priced? Theory and Empirical Evidence": we propose a model in which real interest rates respond to both expected consumption growth and time preferences. Exposures to future consumption growth and time preference interest rate shocks are both priced, however, the two types of interest rate risk have different prices. The premia for time preference risk are arbitrarily large when EIS is close to 1. Empirically, we find little evidence that interest rate risk is priced in the cross-section of stocks and bonds.
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