國立虎尾科技大學 |

Essays on Empirical Asset Pricing.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays on Empirical Asset Pricing./
Author:	Shen, Junyan.
Description:	1 online resource (104 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.
Contained By:	Dissertation Abstracts International78-01A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9781339972985

Essays on Empirical Asset Pricing.
Shen, Junyan.

Essays on Empirical Asset Pricing. - 1 online resource (104 pages)

Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

My dissertation investigates the interaction between macroeconomy and asset prices. On one hand, asset returns can be explained by the riskiness embedded in the economic variables; on the other hand, the aggregate economy is affected by the appropriate distribution of productive resources, arising from firm's financing capability. My dissertation contains two chapters which study these two questions respectively.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9781339972985Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Empirical Asset Pricing.
LDR:03705ntm a2200373Ki 4500 001 908787
005 20180416072029.5
006 m o u
007 cr mn||||a|a||
008 190606s2016 xx obm 000 0 eng d
020 $a 9781339972985
035 $a (MiAaPQ)AAI10141975
035 $a (MiAaPQ)umn:17084
035 $a AAI10141975
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Shen, Junyan. $3 1179081
245 1 0 $a Essays on Empirical Asset Pricing.
264 0 $c 2016
300 $a 1 online resource (104 pages)
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
500 $a Source: Dissertation Abstracts International, Volume: 78-01(E), Section: A.
500 $a Advisers: Jianfeng Yu; Hengjie Ai.
502 $a Thesis (Ph.D.) $c University of Minnesota $d 2016.
504 $a Includes bibliographical references
520 $a My dissertation investigates the interaction between macroeconomy and asset prices. On one hand, asset returns can be explained by the riskiness embedded in the economic variables; on the other hand, the aggregate economy is affected by the appropriate distribution of productive resources, arising from firm's financing capability. My dissertation contains two chapters which study these two questions respectively.
520 $a Chapter one explores the role of investor sentiment in the pricing of a broad set of macro-related risk factors. Economic theory suggests that pervasive factors (such as market returns and consumption growth) should be priced in the cross-section of stock returns. However, when we form portfolios based directly on their exposure to macro-related factors, we find that portfolios with higher risk exposure do not earn higher returns. More important, we discover a striking two-regime pattern for all 10 macro-related factors: high-risk portfolios earn significantly higher returns than low-risk portfolios following low-sentiment periods, whereas the exact opposite occurs following high-sentiment periods. We argue that these findings are consistent with a setting in which market-wide sentiment is combined with short-sale impediments and sentiment-driven investors undermine the traditional risk-return tradeoff, especially during high-sentiment periods.
520 $a Chapter two studies capital misallocation and its implication on output losses. Financial market frictions may lead to capital misallocation and, thus, reduce the aggregate output. This paper empirically quantifies the fraction of total factor productivity (TFP) loss that is attributable to financial frictions. A simple model is set up to map the dispersion in firm's borrowing costs into TFP loss. Equity cost of capital contains information of firm's expected profitability; and, is used as a proxy for firm's borrowing cost. I find that the misallocation due to financial frictions can reduce TFP by a magnitude from 3.2% to 6.4%. TFP losses can be stronger during times when credit is tightening and among firms that have more severe financial constraints. The time series of TFP losses is countercyclical, which suggests more heterogeneity in firm's borrowing costs during the recession. The paper also shows that Hsieh and Klenow (2009) may overstate the output loss caused by the misallocation which is attributable to financial frictions.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Economics. $3 555568
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0501
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of Minnesota. $b Business Administration. $3 1179082
773 0 $t Dissertation Abstracts International $g 78-01A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10141975 $z click for full text (PQDT)