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Essays on Asset Pricing and Financial Institutions.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays on Asset Pricing and Financial Institutions./
作者:	Kiefer, Patrick Christian.
面頁冊數:	1 online resource (183 pages)
附註:	Source: Dissertation Abstracts International, Volume: 79-11(E), Section: A.
Contained By:	Dissertation Abstracts International79-11A(E).
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9780438096226

Essays on Asset Pricing and Financial Institutions.
Kiefer, Patrick Christian.

Essays on Asset Pricing and Financial Institutions. - 1 online resource (183 pages)

Source: Dissertation Abstracts International, Volume: 79-11(E), Section: A.

Thesis (Ph.D.)--University of California, Los Angeles, 2018.

Includes bibliographical references

Forecasts of risk prices at alternative time scales can be used to consolidate history dependence in asset return time series. The resulting Markovian structure identifies a martingale component in the latent transition dynamics. I apply the model to U.S. stock markets and find the concentration of return volatility on the martingale component - the spectral gap - is countercyclical, and predicts annual market returns out-of-sample (o.o.s.) with an R-squared of 10.8%. Value (HML) predictability is concave and front-heavy, peaking at a one-year 14.7% o.o.s. R-squared. In contrast, the momentum predictability term structure is convex, insignificant on the short end, but accelerates to 31.4% o.o.s. R-squared at the three-year horizon. I form timing portfolios to investigate the risk content of the aggregate forecasts. Incremental gains from timing value are compensation for bearing systematic shocks to time-varying expected returns. Exposure to the market timing portfolio is cross-sectionally priced, while gains from timing size (SMB) are not. The findings provide new restrictions for parametric asset pricing theories.

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

Mode of access: World Wide Web

ISBN: 9780438096226Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays on Asset Pricing and Financial Institutions.
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100 1 $a Kiefer, Patrick Christian. $3 1192740
245 1 0 $a Essays on Asset Pricing and Financial Institutions.
264 0 $c 2018
300 $a 1 online resource (183 pages)
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500 $a Source: Dissertation Abstracts International, Volume: 79-11(E), Section: A.
500 $a Adviser: Mark Grinblatt.
502 $a Thesis (Ph.D.)--University of California, Los Angeles, 2018.
504 $a Includes bibliographical references
520 $a Forecasts of risk prices at alternative time scales can be used to consolidate history dependence in asset return time series. The resulting Markovian structure identifies a martingale component in the latent transition dynamics. I apply the model to U.S. stock markets and find the concentration of return volatility on the martingale component - the spectral gap - is countercyclical, and predicts annual market returns out-of-sample (o.o.s.) with an R-squared of 10.8%. Value (HML) predictability is concave and front-heavy, peaking at a one-year 14.7% o.o.s. R-squared. In contrast, the momentum predictability term structure is convex, insignificant on the short end, but accelerates to 31.4% o.o.s. R-squared at the three-year horizon. I form timing portfolios to investigate the risk content of the aggregate forecasts. Incremental gains from timing value are compensation for bearing systematic shocks to time-varying expected returns. Exposure to the market timing portfolio is cross-sectionally priced, while gains from timing size (SMB) are not. The findings provide new restrictions for parametric asset pricing theories.
520 $a Incomplete human capital markets induce unexpected rebalancing costs that are mitigated by a bank. Ex-ante, the bank exchanges risky endowments for demandable liabilities. An ex-post withdrawal corresponds to exercising a put option on the market, used to resolve an unexpected portfolio choice problem. Portfolio choice opens a risk aversion channel that distinguishes our predictions from Diamond and Dybvig (1983) and related models. In these models, deposits resolve consumption-timing tensions by accommodating the investor's intertemporal elasticity of substitution (IES). The inclusion of risk-based incentives allow us to characterize the endogenous link between the intermediary balance sheet and the preference-based pricing kernel. Moreover, ex-post rebalancing incentives relax enforcement problems for ex-ante optimal policies in incomplete markets. This provides a justification for the coexistence of intermediation and market institutions.
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
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a University of California, Los Angeles. $b Management (MS/PHD) 0535. $3 1181819
773 0 $t Dissertation Abstracts International $g 79-11A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10830121 $z click for full text (PQDT)