國立虎尾科技大學 |

Essays in Asset Pricing with Jump Risks.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays in Asset Pricing with Jump Risks./
Author:	Shang, Dapeng.
Description:	1 online resource (119 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 85-11, Section: B.
Contained By:	Dissertations Abstracts International85-11B.
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9798382743592

Essays in Asset Pricing with Jump Risks.
Shang, Dapeng.

Essays in Asset Pricing with Jump Risks. - 1 online resource (119 pages)

Source: Dissertations Abstracts International, Volume: 85-11, Section: B.

Thesis (Ph.D.)--Boston University, 2024.

Includes bibliographical references

This dissertation consists of two essays that focus on the topics related to asset pricing with jump risks. The first essay explores the effect of disaster risk on the beliefs and portfolio choices of ambiguity-averse agents. With the introduction of Cressie-Read discrepancies, a time-varying pessimism state variable arises endogenously, generating time-varying disaster risk. In the event of a disaster, agents heighten their pessimism, anticipating subsequent disasters to arrive sooner. Within this framework, we deduce optimal consumption and portfolio choices that are robust to model misspecification. Additionally, our measure of pessimism aids in understanding the stylized facts derived from Vanguard's retail investor survey data, as reported in Giglio et al. (2021).In the second essay, I construct a novel measure to assess the impact of macro announcements on investors' risk expectations using S&P 500 index and Treasury futures options. This measure corrects the systematic downward jumps in the option- implied variance measure and isolates innovations of investors' risk expectations after macro-announcements. Applied to key economic releases, including FOMC meetings, GDP, PPI, and Employment data announcements, this measure reveals that macro announcements significantly increase investors' risk expectations compared to pre-announcement levels. Furthermore, I show investor sentiment significantly declines following macro-announcements with heightened risk expectations, and tail risk positively correlates with risk expectations.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2024

Mode of access: World Wide Web

ISBN: 9798382743592Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Event riskIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Asset Pricing with Jump Risks.
LDR:02843ntm a22003857 4500 001 1152204
005 20241122094154.5
006 m o d
007 cr mn ---uuuuu
008 250605s2024 xx obm 000 0 eng d
020 $a 9798382743592
035 $a (MiAaPQ)AAI31300399
035 $a AAI31300399
040 $a MiAaPQ $b eng $c MiAaPQ $d NTU
100 1 $a Shang, Dapeng. $3 1479110
245 1 0 $a Essays in Asset Pricing with Jump Risks.
264 0 $c 2024
300 $a 1 online resource (119 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: Dissertations Abstracts International, Volume: 85-11, Section: B.
500 $a Advisor: Xing, Hao;Vedolin, Andrea.
502 $a Thesis (Ph.D.)--Boston University, 2024.
504 $a Includes bibliographical references
520 $a This dissertation consists of two essays that focus on the topics related to asset pricing with jump risks. The first essay explores the effect of disaster risk on the beliefs and portfolio choices of ambiguity-averse agents. With the introduction of Cressie-Read discrepancies, a time-varying pessimism state variable arises endogenously, generating time-varying disaster risk. In the event of a disaster, agents heighten their pessimism, anticipating subsequent disasters to arrive sooner. Within this framework, we deduce optimal consumption and portfolio choices that are robust to model misspecification. Additionally, our measure of pessimism aids in understanding the stylized facts derived from Vanguard's retail investor survey data, as reported in Giglio et al. (2021).In the second essay, I construct a novel measure to assess the impact of macro announcements on investors' risk expectations using S&P 500 index and Treasury futures options. This measure corrects the systematic downward jumps in the option- implied variance measure and isolates innovations of investors' risk expectations after macro-announcements. Applied to key economic releases, including FOMC meetings, GDP, PPI, and Employment data announcements, this measure reveals that macro announcements significantly increase investors' risk expectations compared to pre-announcement levels. Furthermore, I show investor sentiment significantly declines following macro-announcements with heightened risk expectations, and tail risk positively correlates with risk expectations.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2024
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
650 4 $a Applied mathematics. $3 1069907
653 $a Event risk
653 $a Robustness
653 $a Subjective belief
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
690 $a 0501
690 $a 0364
690 $a 0511
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a Boston University. $b Mathematical Finance QSB. $3 1479111
773 0 $t Dissertations Abstracts International $g 85-11B.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31300399 $z click for full text (PQDT)