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Essays on Macroeconomic Risk and Asset Pricing.

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Essays on Macroeconomic Risk and Asset Pricing./
Author:	Ekponon, Biley Adelphe.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	139 p.
Notes:	Source: Dissertation Abstracts International, Volume: 80-07(E), Section: A.
Contained By:	Dissertation Abstracts International80-07A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13427681
ISBN:	9780438906501

Essays on Macroeconomic Risk and Asset Pricing.
Ekponon, Biley Adelphe.

Essays on Macroeconomic Risk and Asset Pricing. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 139 p.

Source: Dissertation Abstracts International, Volume: 80-07(E), Section: A.

Thesis (Ph.D.)--HEC Montreal (Canada), 2018.

Macroeconomic risk brings critical elements that allow more precise descriptions of asset prices movements, as shown by several studies (see Bansal and Yaron (2004), Bhamra, Kuehn, and Strebulaev (2010a, b) and Chen (2010)). This risk is characterized by time-varying economic conditions which combined with recursive preferences allows to price its risk premia. Hence, we can study its impacts in various domains such as, firm or country decisions and on the pricing of stocks, corporate or sovereign bonds.

ISBN: 9780438906501Subjects--Topical Terms:

559073
Finance.

Essays on Macroeconomic Risk and Asset Pricing.
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245 1 0 $a Essays on Macroeconomic Risk and Asset Pricing.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2018
300 $a 139 p.
500 $a Source: Dissertation Abstracts International, Volume: 80-07(E), Section: A.
500 $a Adviser: Alexandre Jeanneret.
502 $a Thesis (Ph.D.)--HEC Montreal (Canada), 2018.
520 $a Macroeconomic risk brings critical elements that allow more precise descriptions of asset prices movements, as shown by several studies (see Bansal and Yaron (2004), Bhamra, Kuehn, and Strebulaev (2010a, b) and Chen (2010)). This risk is characterized by time-varying economic conditions which combined with recursive preferences allows to price its risk premia. Hence, we can study its impacts in various domains such as, firm or country decisions and on the pricing of stocks, corporate or sovereign bonds.
520 $a This thesis proposes two articles on the impacts of macroeconomic conditions on the pricing of: (1) equity and corporate bond and (2) sovereign bond.
520 $a The first article, named "What Drives Corporate Asset Prices: Short- or Long-run Risk?", investigates the impact of macroeconomic risk on corporate asset prices. This paper proposes a consumption-based asset pricing model that allows comparing the compensations for macroeconomic risk, also labeled long-run risk and the one obtained from the classical consumption CAPM, also labeled short-run risk. Short-run risk originates from the positive correlation between firm cash flows and aggregate consumption. Long-run risk comes from the random switch between good and bad economic conditions, and the persistence of each of these state. Consumption-based asset pricing models postulate that the first type of risk is the main driver of equity risk premium, while more recent influential studies document that the second type helps explain several puzzles in finance. The key finding is that long-run risk commands more than two third of risk premia, for both equities and bonds. Second, the role of long-run risk in the equity risk premium is amplified in recessions, but remains stable over the business cycle for credit spreads. The relative importance of short- vs. long-run risk also varies at the cross-section. An empirical analysis over the period 1952-2016 provides support for the main predictions of the model.
520 $a The second article, entitled "Macroeconomic Risk, Investors Preferences, and Sovereign Credit Spreads", examines the impact of global macroeconomic conditions and investor preferences on sovereign credit spreads. This paper is related to a large literature providing evidence that sovereign credit spreads vary with global financial and economic conditions, as documented, among others, by Jeanneret (2015) and Augustin and Tedongap (2015). We propose a structural model for sovereign debt valuation embedded in a consumption-based environment with a global business cycle, in an economy populated by Epstein and Zin type of investors. Augustin and Tedongap (2015) highlight the importance of macroeconomic risk to better understand the dynamics of sovereign credit spreads, but their reduced-form model does not offer insights on how a sovereign's optimal default and indebtedness decisions vary with such risk, which is a key aspect of our paper. Borri and Verdelhan (2012) exclusively analyze the price of risk associated with short-run risk, whereas we focus on the risk associated with macroeconomic conditions. Our model predicts that 30% of the credit spread level is due to exposure to macroeconomic risk and that this risk increases the 5-year default probability from 3.7% to 9.1%. Moreover, we show that governments choose a higher indebtedness level and prefer to default earlier when a country's economic performance is more sensitive to the global business cycle.
590 $a School code: 1575.
650 4 $a Finance. $3 559073
650 4 $a Economic theory. $3 809881
690 $a 0508
690 $a 0511
710 2 $a HEC Montreal (Canada). $b Administration. $3 1213954
773 0 $t Dissertation Abstracts International $g 80-07A(E).
790 $a 1575
791 $a Ph.D.
792 $a 2018
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=13427681