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Essays in Asset Pricing.

Wang, Xue.

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Essays in Asset Pricing.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in Asset Pricing./
Author:	Wang, Xue.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2018,
Description:	133 p.
Notes:	Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
Contained By:	Dissertation Abstracts International79-12A(E).
Subject:	Economics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10750419
ISBN:	9780438171053

Essays in Asset Pricing.
Wang, Xue.

Essays in Asset Pricing. - Ann Arbor : ProQuest Dissertations & Theses, 2018 - 133 p.

Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.

Thesis (Ph.D.)--New York University, 2018.

This dissertation consists of two chapters. The first chapter empirically investigates how investors' subjective beliefs drive the cross-section of stock returns. Using a data set of real-time professional survey forecasts, I first estimate belief wedges, defined as the difference between the professional survey forecasts and the Factor-Augmented Vector Autoregression (FAVAR) model implied conditional rational forecasts. I then construct empirical measures of investors' subjective beliefs as latent factors from the estimated belief wedges. Next, I show that the subjective belief factors exhibit significant explanatory power with large, positive and highly significant coefficients for expected returns across eight stock portfolio groups separately and jointly. A trading strategy based on the subjective belief factor loading delivers a positive average return. Finally, a potential theoretical explanation for the origins of belief disparities is rendered based on the robust preference model.

ISBN: 9780438171053Subjects--Topical Terms:

517137
Economics.

Essays in Asset Pricing.
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245 1 0 $a Essays in Asset Pricing.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2018
300 $a 133 p.
500 $a Source: Dissertation Abstracts International, Volume: 79-12(E), Section: A.
500 $a Adviser: Jaroslav Borovicka.
502 $a Thesis (Ph.D.)--New York University, 2018.
520 $a This dissertation consists of two chapters. The first chapter empirically investigates how investors' subjective beliefs drive the cross-section of stock returns. Using a data set of real-time professional survey forecasts, I first estimate belief wedges, defined as the difference between the professional survey forecasts and the Factor-Augmented Vector Autoregression (FAVAR) model implied conditional rational forecasts. I then construct empirical measures of investors' subjective beliefs as latent factors from the estimated belief wedges. Next, I show that the subjective belief factors exhibit significant explanatory power with large, positive and highly significant coefficients for expected returns across eight stock portfolio groups separately and jointly. A trading strategy based on the subjective belief factor loading delivers a positive average return. Finally, a potential theoretical explanation for the origins of belief disparities is rendered based on the robust preference model.
520 $a The second chapter investigates whether consumption growth risk is responsible for accounting observed variations in the foreign currency markets? To address this question, I set up and estimate a regime-switching Markov process for consumption growth with unobservable states for G7 countries. Combining the estimated consumption process with the Epstein-Zin and Weil preference in a representative agent framework, I show that this simple model can match several salient features observed in the data: (1) the model generates the uncovered interest rate parity puzzle; (2) the model delivers a low correlation between the real exchange rates and consumption growth differentials; (3) the volatility of the real exchange rate generated by the model is similar to the magnitude of data. Overall, this paper provides evidence for a link between consumption growth risk and exchange rates.
590 $a School code: 0146.
650 4 $a Economics. $3 517137
650 4 $a Finance. $3 542899
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710 2 $a New York University. $b Economics. $3 1032403
773 0 $t Dissertation Abstracts International $g 79-12A(E).
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