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Three essays on empirical asset pricing.

Zhao, Rui.

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Three essays on empirical asset pricing.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Three essays on empirical asset pricing./
作者:	Zhao, Rui.
面頁冊數:	128 p.
附註:	Adviser: Andrew Ang.
Contained By:	Dissertation Abstracts International68-06A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3266712
ISBN:	9780549056669

Three essays on empirical asset pricing.
Zhao, Rui.

Three essays on empirical asset pricing. - 128 p.

Adviser: Andrew Ang.

Thesis (Ph.D.)--Columbia University, 2007.

This dissertation contains three chapters.

ISBN: 9780549056669Subjects--Topical Terms:

626650
Economics, Finance.

Three essays on empirical asset pricing.
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500 $a Adviser: Andrew Ang.
500 $a Source: Dissertation Abstracts International, Volume: 68-06, Section: A, page: 2588.
502 $a Thesis (Ph.D.)--Columbia University, 2007.
520 $a This dissertation contains three chapters.
520 $a The first chapter, coauthored with Andrew Ang and Matthew Rhodes-Kropf, provides a new method to evaluate the fund-of-funds industry. We show that funds-of-funds should not be evaluated relative to hedge fund returns from reported databases. Instead, the correct fund-of-funds benchmark is the return an investor would achieve from direct hedge fund investments on her own without recourse to funds-of-funds. We use certainty equivalent concepts and revealed preference arguments to estimate attributes of the true, implied true fund-of-funds benchmark distribution. Since the benchmark characteristics seem reasonable, we conclude that, on average, funds-of-funds deserve their fees-on-fees.
520 $a The second chapter, coauthored with Haitao Li and Xiaoyan Zhang, examines the impact of manager education, career concern and incentive on hedge fund performances, including its risk-taking behaviors, raw and risk-adjusted returns and fund flows. Managers from higher-SAT undergraduate institutes tend to have higher raw and risk-adjusted returns, more inflows, and take less risks. Younger managers tend to have higher returns, more inflows, and take more risks. Fund incentive structures also significantly affect the relation between performance and education/career concern. Our results highlight the important role that manager talents and motivations play in the hedge fund performances.
520 $a The third chapter is based on a joint work with Xiaoyan Zhang. We find that the shape of the volatility smirk has significant cross-sectional predictive power for future stock returns. Stocks whose options exhibit the steepest smirks underperform stocks whose options have the smallest volatility smirks by over 20% per year on a risk-adjusted basis. This predictability is persistent for up to three months and is stronger for stocks with higher PIN measures or higher option leverage. Firms with steepest volatility smirks are those experiencing the most negative earning shocks in the next quarter. The results suggest that informed traders with negative news prefer to buy out-of-the-money put options, and the equity market is slow in incorporating the information embedded in volatility smirks.
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