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Essays in Financial Economics.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Financial Economics./
作者:	Sabouni, Hisam.
面頁冊數:	1 online resource (94 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:	9780355542103

Essays in Financial Economics.
Sabouni, Hisam.

Essays in Financial Economics. - 1 online resource (94 pages)

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

Thesis (Ph.D.)

Includes bibliographical references

Within this dissertation you will come across three papers focusing on financial economic problems. This dissertation will explore and employ tools from the machine learning literature and develop new methods to take on problems relating to financial econometrics, asset pricing, and sentiment analysis. While these papers may seem unrelated, they are all tied together through an underlying theme: approaching traditional financial economic problems with the help of non-traditional computational based methods.

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

Mode of access: World Wide Web

ISBN: 9780355542103Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays in Financial Economics.
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300 $a 1 online resource (94 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 79-04(E), Section: A.
500 $a Advisers: Cameron A. Shelton; John Rutledge.
502 $a Thesis (Ph.D.) $c The Claremont Graduate University $d 2017.
504 $a Includes bibliographical references
520 $a Within this dissertation you will come across three papers focusing on financial economic problems. This dissertation will explore and employ tools from the machine learning literature and develop new methods to take on problems relating to financial econometrics, asset pricing, and sentiment analysis. While these papers may seem unrelated, they are all tied together through an underlying theme: approaching traditional financial economic problems with the help of non-traditional computational based methods.
520 $a The first chapter proposes and tests a new structural detection method in the context of autoregressive-moving average (ARMA) processes. The proposed method exploits simple properties of ARMA processes to detect structural breaks, that is the evolution of the lag-1 autocovariance across time to detect structural breaks in a series. Evidence suggests the proposed structural break detection method is found to significantly outperform existing econometric tools across a large set of simulations. The second chapter, leaps to a classical problem in financial economics and leverages the least absolute shrinkage and selection operator, proposed by Tibshirani (1994), to analyze fundamental factors of companies and their relationships to the historical cross-section of returns of equities in the United States. Expanding on the classical Fama-French (1992) factors, a new set of fundamental factors relating to types of debt companies take on and to employee compensation methods are introduced and shown to be highly economically and statistically significant at explaining the cross-sectional returns of U.S. equities in a large panel dataset of over one million observations. Lastly, in the third chapter we construct a new set of consumer sentiment indices by analyzing the properties of goods individuals choose to consume over time. More precisely, we use natural language processing tools to analyze the sentiment of the most consumed songs in the United States and United Kingdom on a month-to-month basis. We find that our constructed music sentiment indices are in a long-run equilibrium with existing consumer sentiment indices and show that our music sentiment indices can be utilized to predict short-run fluctuations in a number of financial indices. The ability for the music sentiment indices to predict short-run fluctuations in financial markets is used to create a set of trading strategies that are found to out-perform traditional buy-and-hold investment strategies in terms of the risk-adjusted performance.
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
650 4 $a Statistics. $3 556824
655 7 $a Electronic books. $2 local $3 554714
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690 $a 0501
690 $a 0463
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The Claremont Graduate University. $b Politics and Economics. $3 1181002
773 0 $t Dissertation Abstracts International $g 79-04A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10685077 $z click for full text (PQDT)