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Essays in empirical asset pricing.

Gu, Li.

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Essays in empirical asset pricing.

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Essays in empirical asset pricing./
作者:	Gu, Li.
面頁冊數:	95 p.
附註:	Adviser: Andrew Ang.
Contained By:	Dissertation Abstracts International67-04A.
標題:	Economics, Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3213514
ISBN:	9780542637544

Essays in empirical asset pricing.
Gu, Li.

Essays in empirical asset pricing. - 95 p.

Adviser: Andrew Ang.

Thesis (Ph.D.)--Columbia University, 2006.

The first chapter of this dissertation investigates asymmetric risk loadings in the cross section of stock returns. Time-varying factor loadings exhibit pronounced asymmetry in the cross section of stock returns. To capture this asymmetry, we develop regime-switching versions of the CAPM and the Fama French three-factor model, allowing both factor loadings and predictable risk premiums to switch across regimes. We estimate the models jointly on the decile book-to-market portfolios, together with the market portfolio to investigate the role of asymmetric risk in the book-to-market premium. We find that the betas of value stocks increase significantly during bear market episodes. However, even in the presence of regimes we still reject that the book-to-market premium is equal to zero for both the regime-switching conditional CAPM and the Fama-French model.

ISBN: 9780542637544Subjects--Topical Terms:

626650
Economics, Finance.

Essays in empirical asset pricing.
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520 $a The first chapter of this dissertation investigates asymmetric risk loadings in the cross section of stock returns. Time-varying factor loadings exhibit pronounced asymmetry in the cross section of stock returns. To capture this asymmetry, we develop regime-switching versions of the CAPM and the Fama French three-factor model, allowing both factor loadings and predictable risk premiums to switch across regimes. We estimate the models jointly on the decile book-to-market portfolios, together with the market portfolio to investigate the role of asymmetric risk in the book-to-market premium. We find that the betas of value stocks increase significantly during bear market episodes. However, even in the presence of regimes we still reject that the book-to-market premium is equal to zero for both the regime-switching conditional CAPM and the Fama-French model.
520 $a The second chapter, joint with Andrew Ang and Yael Hochberg, empirically examines whether the underperformance of IPOs in the post-1970 sample is a small sample effect or "Peso" problem. That is, IPO underperformance may result from observing too few star performers ex-post than were expected ex-ante. We develop a model of IPO performance that captures this intuition by allowing returns to be drawn from mixtures of outstanding, benchmark, or poor performing states. We estimate the model under the null of no ex-ante average IPO underperformance and construct small sample distributions of various statistics measuring IPO relative performance. We find that small sample biases are extremely unlikely to account for the magnitude of the post-1970 IPO underperformance observed in data.
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