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Essays in Empirical Finance /

Fiaux, Florian,

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Essays in Empirical Finance /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays in Empirical Finance // Florian Fiaux.
Author:	Fiaux, Florian,
Description:	1 electronic resource (123 pages)
Notes:	Source: Dissertations Abstracts International, Volume: 86-05, Section: A.
Contained By:	Dissertations Abstracts International86-05A.
Subject:	Administrative expenses. -
Online resource:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31643329
ISBN:	9798346380047

Essays in Empirical Finance /
Fiaux, Florian,

Essays in Empirical Finance /Florian Fiaux. - 1 electronic resource (123 pages)

Source: Dissertations Abstracts International, Volume: 86-05, Section: A.

This dissertation is composed of three essays in empirical finance. The first essay investigates the performance of transformer models to build optimal portfolios at different trading horizons: daily and monthly. Models trained on daily trading horizon perform much better than models trained at monthly frequency. Even when the daily models are constrained to trading at monthly frequency, their performance is at least as good at the monthly trained models. The second essay links mutual funds information to their stocks holdings to improve upon machine learning models that predict stock returns or build optimal portfolios. We show that there is a significant improvement in performance when using mutual funds information jointly with stocks characteristics. The improvement in performance is larger before 2015, where the price impact of mutual funds is more pronounced. The third essay estimates the impact of climate regulation risk on the term structure of equity yields. We identify firms most exposed to climate regulation risk using 10-K filings and build the term structure of equity yields for these firms. The impact of climate regulation shocks is significantly negative during the Obama administration and significantly positive during the Trump administration. We find that shorter maturities are more sensitive to climate regulation risk than longer maturities.

English

ISBN: 9798346380047Subjects--Topical Terms:

3686930
Administrative expenses.

Essays in Empirical Finance /
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520 $a This dissertation is composed of three essays in empirical finance. The first essay investigates the performance of transformer models to build optimal portfolios at different trading horizons: daily and monthly. Models trained on daily trading horizon perform much better than models trained at monthly frequency. Even when the daily models are constrained to trading at monthly frequency, their performance is at least as good at the monthly trained models. The second essay links mutual funds information to their stocks holdings to improve upon machine learning models that predict stock returns or build optimal portfolios. We show that there is a significant improvement in performance when using mutual funds information jointly with stocks characteristics. The improvement in performance is larger before 2015, where the price impact of mutual funds is more pronounced. The third essay estimates the impact of climate regulation risk on the term structure of equity yields. We identify firms most exposed to climate regulation risk using 10-K filings and build the term structure of equity yields for these firms. The impact of climate regulation shocks is significantly negative during the Obama administration and significantly positive during the Trump administration. We find that shorter maturities are more sensitive to climate regulation risk than longer maturities.
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