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Essays on Macroeconomics and Finance /

Seo, Taeuk,

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Essays on Macroeconomics and Finance /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Macroeconomics and Finance // Taeuk Seo.
作者:	Seo, Taeuk,
面頁冊數:	1 electronic resource (110 pages)
附註:	Source: Dissertations Abstracts International, Volume: 86-04, Section: A.
Contained By:	Dissertations Abstracts International86-04A.
標題:	Finance. -
電子資源:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31631483
ISBN:	9798384045434

Essays on Macroeconomics and Finance /
Seo, Taeuk,

Essays on Macroeconomics and Finance /Taeuk Seo. - 1 electronic resource (110 pages)

Source: Dissertations Abstracts International, Volume: 86-04, Section: A.

This dissertation consists of the following essays organized into three chapters.In the first chapter, I explore the cross-sectional asset pricing implications of firms' advertising policies in the United States stock market. I find firms that invest more in advertising earn about 4.39 percent more risk-adjusted returns per year compared to their capital expenditure-intensive counterparts. This return spread is robust to industry-level adjustments, subsample periods, and use of alternative datasets to measure firms' advertising activities. I then provide a theoretical explanation with a production-based asset pricing model where advertising and physical capital differ in their reversibility. When the model is simulated using parameters consistent with firms' advertising and capital expenditures, it is able to explain about 23 percent of the portfolio return. In the second chapter, written jointly with Indrajit Mitra and Yu Xu, we establish an observational equivalence between unemployment fluctuations of the Diamond-Mortensen-Pissarides search economy augmented with time-varying risk premia, and an otherwise identical economy without risk-premia but with a time-varying value of leisure. This equivalence holds for general risk-premia processes and allows us to view the effects of different models of risk-premia as operating through a single channel-one that alters the value of leisure. We derive simple expressions for semi-elasticities of labor market tightness with respect to productivity and risk premium shocks. We show wages can be used to detect misspecification in the discount rate process used in hiring decisions.In the third chapter, also written together with Indrajit Mitra and Yu Xu, we study the relationship between consumption growth rates and the correlation between stock and bond returns. We find that much of the increased persistence in consumption growth rate around when the stock-bond correlation becomes strongly negative is from the services consumption. Such increase in persistence is still present in the component orthogonal other economic activities, and has a greater effect on the aggregate consumption as its expenditure has substantially increased since the 1960s. We demonstrate how these structural changes could lead to stronger negative stock-bond correlation with a consumption-based asset pricing model, and discuss its potential extensions.

English

ISBN: 9798384045434Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Asset pricing

Essays on Macroeconomics and Finance /
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245 1 0 $a Essays on Macroeconomics and Finance / $c Taeuk Seo.
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500 $a Source: Dissertations Abstracts International, Volume: 86-04, Section: A.
500 $a Advisors: Mitra, Indrajit; Rajan, Uday Committee members: House, Christopher; Miller, Shane Henry; Shakespeare, Catherine.
502 $b Ph.D. $c University of Michigan $d 2024.
520 $a This dissertation consists of the following essays organized into three chapters.In the first chapter, I explore the cross-sectional asset pricing implications of firms' advertising policies in the United States stock market. I find firms that invest more in advertising earn about 4.39 percent more risk-adjusted returns per year compared to their capital expenditure-intensive counterparts. This return spread is robust to industry-level adjustments, subsample periods, and use of alternative datasets to measure firms' advertising activities. I then provide a theoretical explanation with a production-based asset pricing model where advertising and physical capital differ in their reversibility. When the model is simulated using parameters consistent with firms' advertising and capital expenditures, it is able to explain about 23 percent of the portfolio return. In the second chapter, written jointly with Indrajit Mitra and Yu Xu, we establish an observational equivalence between unemployment fluctuations of the Diamond-Mortensen-Pissarides search economy augmented with time-varying risk premia, and an otherwise identical economy without risk-premia but with a time-varying value of leisure. This equivalence holds for general risk-premia processes and allows us to view the effects of different models of risk-premia as operating through a single channel-one that alters the value of leisure. We derive simple expressions for semi-elasticities of labor market tightness with respect to productivity and risk premium shocks. We show wages can be used to detect misspecification in the discount rate process used in hiring decisions.In the third chapter, also written together with Indrajit Mitra and Yu Xu, we study the relationship between consumption growth rates and the correlation between stock and bond returns. We find that much of the increased persistence in consumption growth rate around when the stock-bond correlation becomes strongly negative is from the services consumption. Such increase in persistence is still present in the component orthogonal other economic activities, and has a greater effect on the aggregate consumption as its expenditure has substantially increased since the 1960s. We demonstrate how these structural changes could lead to stronger negative stock-bond correlation with a consumption-based asset pricing model, and discuss its potential extensions.
546 $a English
590 $a School code: 0127
650 4 $a Finance. $3 542899
650 4 $a American studies. $3 2122720
653 $a Asset pricing
653 $a Advertising activities
653 $a Labor markets
653 $a Macroeconomics
653 $a Risk premium
653 $a Stock-bond correlation
690 $a 0508
690 $a 0510
690 $a 0323
690 $a 0338
690 $a 0501
710 2 $a University of Michigan. $b Business Administration. $e degree granting institution. $3 3816504
720 1 $a Mitra, Indrajit $e degree supervisor.
720 1 $a Rajan, Uday $e degree supervisor.
773 0 $t Dissertations Abstracts International $g 86-04A.
790 $a 0127
791 $a Ph.D.
792 $a 2024
856 4 0 $u https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31631483