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Three Essays on International Asset Pricing.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Three Essays on International Asset Pricing./
作者:	Bae, Joon Woo.
面頁冊數:	1 online resource (167 pages)
附註:	Source: Dissertation Abstracts International, Volume: 79-04(E), Section: A.
Contained By:	Dissertation Abstracts International79-04A(E).
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9780355530599

Three Essays on International Asset Pricing.
Bae, Joon Woo.

Three Essays on International Asset Pricing. - 1 online resource (167 pages)

Source: Dissertation Abstracts International, Volume: 79-04(E), Section: A.

Thesis (Ph.D.)

Includes bibliographical references

The common thread running through my research is to explore the asset price dynamics across countries and across asset classes. In the first chapter of this thesis, I apply Newton's law of universal gravitation to investigate the determinants of the bilateral relationships in returns. Examining the gravity effect in a large set of countries, I find that the size of economies and geographical distance are significant determinants of the contemporaneous as well as the lead-lag correlation patterns observed in stock returns across countries. In addition, decomposing stock market returns into cash-flow and discount-rate news shows that the international transmission of country specific news is more pronounced through discount-rate news, and that the size of economies and geographical distance are significant determinants for both components of returns.

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

Mode of access: World Wide Web

ISBN: 9780355530599Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Three Essays on International Asset Pricing.
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245 1 0 $a Three Essays on International Asset Pricing.
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300 $a 1 online resource (167 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 79-04(E), Section: A.
500 $a Advisers: Bing Han; Redouane Elkamhi.
502 $a Thesis (Ph.D.) $c University of Toronto (Canada) $d 2017.
504 $a Includes bibliographical references
520 $a The common thread running through my research is to explore the asset price dynamics across countries and across asset classes. In the first chapter of this thesis, I apply Newton's law of universal gravitation to investigate the determinants of the bilateral relationships in returns. Examining the gravity effect in a large set of countries, I find that the size of economies and geographical distance are significant determinants of the contemporaneous as well as the lead-lag correlation patterns observed in stock returns across countries. In addition, decomposing stock market returns into cash-flow and discount-rate news shows that the international transmission of country specific news is more pronounced through discount-rate news, and that the size of economies and geographical distance are significant determinants for both components of returns.
520 $a In the second chapter, based on a joint work with Redouane Elkamhi and Mikhail Simutin, we propose a diversification approach that exploits the global connectedness of developed countries to gain exposure to emerging countries' overall economies rather than their shallow equity markets. In doing so, we demonstrate that developed markets still offer substantial diversification benefits beyond those available through equity indices, contrary to a large body of literature claiming that the benefits of international diversification via developed markets have dramatically declined. Our results also suggest that relying on equity indices to assess diversification benefits understates diversification gains.
520 $a The third chapter explores the potential risk of investing in global markets. Specifically, my co-author Redouane Elkamhi and I study the two widely-known speculation strategies in the FX market, carry and momentum trades, and provide a risk-based explanation for the excess returns. We construct a common factor that drives correlation across international equity markets and show that the cross-sectional variations in the average excess returns across carry and momentum portfolios can be explained by different sensitivities to our correlation factor. By using a factor constructed from the equity market to explain abnormal return in the FX market, these findings shed light on the important linkage across the two markets through equity correlations as a main instrument of the aggregate risk.
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
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
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710 2 $a University of Toronto (Canada). $b Management. $3 1179118
773 0 $t Dissertation Abstracts International $g 79-04A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10599750 $z click for full text (PQDT)