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Essays in Asset Pricing.

紀錄類型:	書目-語言資料,手稿 : Monograph/item
正題名/作者:	Essays in Asset Pricing./
作者:	Kane, Andrew.
面頁冊數:	1 online resource (263 pages)
附註:	Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
Contained By:	Dissertations Abstracts International85-11A.
標題:	Finance. -
電子資源:	click for full text (PQDT)
ISBN:	9798382729442

Essays in Asset Pricing.
Kane, Andrew.

Essays in Asset Pricing. - 1 online resource (263 pages)

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

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

Includes bibliographical references

I investigate determinants of equity and bond returns. In Chapter 2, I link product pricing behavior to firms' equity returns. Firms with less responsive product pricing earn higher average returns. I show this empirical fact is consistent with firms with less responsive pricing experiencing greater cashflow losses due to inflation, and investors demanding a risk premium to hold these firms' equity. In Chapter 3, my coauthors and I revisit several puzzling results in the literature that claim a disconnect between firms' asset returns and market leverage. We combine market values of bonds and loans from several data sets to comprehensively measure firms' market leverage and asset volatility. We show that the disconnect between asset returns and leverage is primarily due to the mismeasurement of market debt values with book debt values, and that popular models in the finance literature more accurately predict returns when market values are directly observed. In Chapter 4, my coauthors and I show that asset price movements around FOMC announcements are predicted by preceding ECB announcements.

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

Mode of access: World Wide Web

ISBN: 9798382729442Subjects--Topical Terms:

559073
Finance.
Subjects--Index Terms:

Asset pricingIndex Terms--Genre/Form:

554714
Electronic books.

Essays in Asset Pricing.
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502 $a Thesis (Ph.D.)--Duke University, 2024.
504 $a Includes bibliographical references
520 $a I investigate determinants of equity and bond returns. In Chapter 2, I link product pricing behavior to firms' equity returns. Firms with less responsive product pricing earn higher average returns. I show this empirical fact is consistent with firms with less responsive pricing experiencing greater cashflow losses due to inflation, and investors demanding a risk premium to hold these firms' equity. In Chapter 3, my coauthors and I revisit several puzzling results in the literature that claim a disconnect between firms' asset returns and market leverage. We combine market values of bonds and loans from several data sets to comprehensively measure firms' market leverage and asset volatility. We show that the disconnect between asset returns and leverage is primarily due to the mismeasurement of market debt values with book debt values, and that popular models in the finance literature more accurately predict returns when market values are directly observed. In Chapter 4, my coauthors and I show that asset price movements around FOMC announcements are predicted by preceding ECB announcements.
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538 $a Mode of access: World Wide Web
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653 $a Asset pricing
653 $a Corporate debt
653 $a Sticky prices
653 $a Firms
653 $a Market values
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