國立虎尾科技大學 |

Essays in Financial Economics.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays in Financial Economics./
Author:	Bai, Hang.
Description:	1 online resource (154 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 78-07(E), Section: A.
Contained By:	Dissertation Abstracts International78-07A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9781369590944

Essays in Financial Economics.
Bai, Hang.

Essays in Financial Economics. - 1 online resource (154 pages)

Source: Dissertation Abstracts International, Volume: 78-07(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

This dissertation consists of three chapters that aim to understand the fundamental relations between asset prices and the real/financial decisions of firms.

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

Mode of access: World Wide Web

ISBN: 9781369590944Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays in Financial Economics.
LDR:04179ntm a2200373Ki 4500 001 908858
005 20180416072032.5
006 m o u
007 cr mn||||a|a||
008 190606s2016 xx obm 000 0 eng d
020 $a 9781369590944
035 $a (MiAaPQ)AAI10392677
035 $a (MiAaPQ)OhioLINK:osu1469752628
035 $a AAI10392677
040 $a MiAaPQ $b eng $c MiAaPQ
099 $a TUL $f hyy $c available through World Wide Web
100 1 $a Bai, Hang. $3 1179215
245 1 0 $a Essays in Financial Economics.
264 0 $c 2016
300 $a 1 online resource (154 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: 78-07(E), Section: A.
502 $a Thesis (Ph.D.) $c The Ohio State University $d 2016.
504 $a Includes bibliographical references
520 $a This dissertation consists of three chapters that aim to understand the fundamental relations between asset prices and the real/financial decisions of firms.
520 $a The first chapter studies the credit risk implications of labor market fluctuations, by incorporating defaultable debt into a textbook search model of unemployment. In the model, the present value of cash flows that firms extract from workers simultaneously drives unemployment dynamics and credit risk variation. The model generates fat right tails in both unemployment and credit spreads, and their strong comovement over the business cycle, in line with the historical U.S. data from 1929 to 2015. Quantitatively, the model reasonably replicates the level, volatility and cyclicality of credit spreads. Overall, the paper highlights labor market fluctuations as an important macroeconomic driver of credit risk variation.
520 $a In the second chapter, co-authored with Kewei Hou, Howard Kung, and Lu Zhang, we study how rare economic disasters, events such as the Great Depression, affect the cross section of stock returns, in particular the relation between the CAPM and the value premium. In historical U.S. data, it is well-established that the CAPM fails miserably to explain the value premium during the post-Compustat period. Perhaps less well-known is that the CAPM turns out to capture the value premium pretty well during the long sample period from 1929 to 2014. To understand the drivers behind the differential performance of the CAPM, we embed disasters into a stylied investment-based asset pricing model. The key result is that our single-factor model reproduces the failure of the CAPM in explaining the value premium in finite samples in which disasters are not materialized, and its relative success in samples in which disasters are materialized. Due to measurement errors in pre-ranking market betas, the relation between these estimated betas and average returns is flat in simulations, consistent with the beta "anomaly", even though the relation between true betas and expected returns is strongly positive.
520 $a The third chapter empirically examines how asset returns vary over the credit cycle. I construct a variable called Corporate Credit Growth (hereafter CCG) to capture the phase of the credit cycle, and show that CCG strongly negatively predicts future excess stock returns both in sample and out of sample. A one-standard-deviation decrease in CCG is associated with a sizable 1.5% increase in the equity premium over the next quarter. The predictive power of CCG can not be accounted for by a wide range of previously studied predictors. Impulse response analysis indicates CCG contains information about the term structure of expected stock returns. Finally, the paper examines alternative indicators of the credit cycle and finds that credit flows to other sectors of the economy do not appear to predict returns in the equity market.
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 The Ohio State University. $b Business Administration. $3 1179216
773 0 $t Dissertation Abstracts International $g 78-07A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10392677 $z click for full text (PQDT)