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

Essays in Asset Pricing.

Wang, Xue.

FindBook

Google Book

Amazon

博客來

Essays in Asset Pricing.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays in Asset Pricing./
作者:	Wang, Xue.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:	133 p.
附註:	Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
Contained By:	Dissertation Abstracts International79-12A(E).
標題:	Economics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10750419
ISBN:	9780438171053

Essays in Asset Pricing.
Wang, Xue.

Essays in Asset Pricing. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 133 p.

Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.

Thesis (Ph.D.)--New York University, 2018.

This dissertation consists of two chapters. The first chapter empirically investigates how investors' subjective beliefs drive the cross-section of stock returns. Using a data set of real-time professional survey forecasts, I first estimate belief wedges, defined as the difference between the professional survey forecasts and the Factor-Augmented Vector Autoregression (FAVAR) model implied conditional rational forecasts. I then construct empirical measures of investors' subjective beliefs as latent factors from the estimated belief wedges. Next, I show that the subjective belief factors exhibit significant explanatory power with large, positive and highly significant coefficients for expected returns across eight stock portfolio groups separately and jointly. A trading strategy based on the subjective belief factor loading delivers a positive average return. Finally, a potential theoretical explanation for the origins of belief disparities is rendered based on the robust preference model.

ISBN: 9780438171053Subjects--Topical Terms:

517137
Economics.

Essays in Asset Pricing.
LDR:02799nmm a2200313 4500 001 2163692
005 20181022132747.5
008 190424s2018 ||||||||||||||||| ||eng d
020 $a 9780438171053
035 $a (MiAaPQ)AAI10750419
035 $a (MiAaPQ)nyu:13238
035 $a AAI10750419
040 $a MiAaPQ $c MiAaPQ
100 1 $a Wang, Xue. $3 2059408
245 1 0 $a Essays in Asset Pricing.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2018
300 $a 133 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
500 $a Adviser: Jaroslav Borovicka.
502 $a Thesis (Ph.D.)--New York University, 2018.
520 $a This dissertation consists of two chapters. The first chapter empirically investigates how investors' subjective beliefs drive the cross-section of stock returns. Using a data set of real-time professional survey forecasts, I first estimate belief wedges, defined as the difference between the professional survey forecasts and the Factor-Augmented Vector Autoregression (FAVAR) model implied conditional rational forecasts. I then construct empirical measures of investors' subjective beliefs as latent factors from the estimated belief wedges. Next, I show that the subjective belief factors exhibit significant explanatory power with large, positive and highly significant coefficients for expected returns across eight stock portfolio groups separately and jointly. A trading strategy based on the subjective belief factor loading delivers a positive average return. Finally, a potential theoretical explanation for the origins of belief disparities is rendered based on the robust preference model.
520 $a The second chapter investigates whether consumption growth risk is responsible for accounting observed variations in the foreign currency markets? To address this question, I set up and estimate a regime-switching Markov process for consumption growth with unobservable states for G7 countries. Combining the estimated consumption process with the Epstein-Zin and Weil preference in a representative agent framework, I show that this simple model can match several salient features observed in the data: (1) the model generates the uncovered interest rate parity puzzle; (2) the model delivers a low correlation between the real exchange rates and consumption growth differentials; (3) the volatility of the real exchange rate generated by the model is similar to the magnitude of data. Overall, this paper provides evidence for a link between consumption growth risk and exchange rates.
590 $a School code: 0146.
650 4 $a Economics. $3 517137
650 4 $a Finance. $3 542899
690 $a 0501
690 $a 0508
710 2 $a New York University. $b Economics. $3 1032403
773 0 $t Dissertation Abstracts International $g 79-12A(E).
790 $a 0146
791 $a Ph.D.
792 $a 2018
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10750419