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Essays on Empirical Asset Pricing /

Li, Ang,

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Essays on Empirical Asset Pricing /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Essays on Empirical Asset Pricing // Ang Li.
作者:	Li, Ang,
面頁冊數:	1 electronic resource (214 pages)
附註:	Source: Dissertations Abstracts International, Volume: 86-08, Section: A.
Contained By:	Dissertations Abstracts International86-08A.
標題:	Investments. -
電子資源:	https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=31855567
ISBN:	9798304955713

Essays on Empirical Asset Pricing /
Li, Ang,

Essays on Empirical Asset Pricing /Ang Li. - 1 electronic resource (214 pages)

Source: Dissertations Abstracts International, Volume: 86-08, Section: A.

This thesis is comprised of three Chapters. Chapter 1 investigates the pricing implication of inequality risk in the cross-section of Chinese stock returns. We find a significant negative inequality risk premium regardless of whether tests are performed on individual stocks or portfolios. Moreover, we find evidence that inequality risk exposure is mildly positively associated with idiosyncratic volatility and turnover rate, while it is negatively associated with the E/P ratio and ownership concentration. This supports the conjecture that poorer investors (proxied by retail investors) tend to hold assets with higher inequality betas.Chapter 2 investigates the pricing implication of macroeconomic factors in the cross-section of Chinese stock returns. Our results suggest that the Chinese stock market now prices macroeconomic risks similarly to more developed markets, challenging its previous characterization as a "casino." Most of the macroeconomic factors tested have significant loadings on the stochastic discount factor and economically significant risk premiums. Furthermore, we find that the Fama-French five factors become superfluous in the presence of the macroeconomic factors. However, the performance of the conventional macroeconomic factors is unstable over different test assets, highlighting the need for further research to identify macroeconomic factors that could better describe the cross-section of Chinese stock returns is much needed.Chapter 3 aims to improve the explanatory power of macroeconomic factors in the cross-section of Chinese stock returns. To do so, we construct a set of machine-learning-enhanced macroeconomic factors using a novel procedure binding the theory of the ICAPM with the Elastic Net algorithm. Our results show that our machine-learning-enhanced macroeconomic factors incorporate more useful pricing information than traditional ad hoc sparse macroeconomic factors, and demonstrate superior performance to the PCA and Chen-RollRoss (1986) factors in most situations.

English

ISBN: 9798304955713Subjects--Topical Terms:

566987
Investments.
Subjects--Index Terms:

Chinese stock

Essays on Empirical Asset Pricing /
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520 $a This thesis is comprised of three Chapters. Chapter 1 investigates the pricing implication of inequality risk in the cross-section of Chinese stock returns. We find a significant negative inequality risk premium regardless of whether tests are performed on individual stocks or portfolios. Moreover, we find evidence that inequality risk exposure is mildly positively associated with idiosyncratic volatility and turnover rate, while it is negatively associated with the E/P ratio and ownership concentration. This supports the conjecture that poorer investors (proxied by retail investors) tend to hold assets with higher inequality betas.Chapter 2 investigates the pricing implication of macroeconomic factors in the cross-section of Chinese stock returns. Our results suggest that the Chinese stock market now prices macroeconomic risks similarly to more developed markets, challenging its previous characterization as a "casino." Most of the macroeconomic factors tested have significant loadings on the stochastic discount factor and economically significant risk premiums. Furthermore, we find that the Fama-French five factors become superfluous in the presence of the macroeconomic factors. However, the performance of the conventional macroeconomic factors is unstable over different test assets, highlighting the need for further research to identify macroeconomic factors that could better describe the cross-section of Chinese stock returns is much needed.Chapter 3 aims to improve the explanatory power of macroeconomic factors in the cross-section of Chinese stock returns. To do so, we construct a set of machine-learning-enhanced macroeconomic factors using a novel procedure binding the theory of the ICAPM with the Elastic Net algorithm. Our results show that our machine-learning-enhanced macroeconomic factors incorporate more useful pricing information than traditional ad hoc sparse macroeconomic factors, and demonstrate superior performance to the PCA and Chen-RollRoss (1986) factors in most situations.
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590 $a School code: 0433
650 4 $a Investments. $3 566987
650 4 $a Expenditures. $3 3556049
650 4 $a Entropy. $3 546219
650 4 $a Investors. $3 3544951
650 4 $a Egalitarianism. $3 3560117
650 4 $a Jewelry. $3 628329
653 $a Chinese stock
653 $a Macroeconomic factors
653 $a Ownership concentration
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720 1 $a Ding, Ding $e degree supervisor.
720 1 $a Liu, Xin $e degree supervisor.
773 0 $t Dissertations Abstracts International $g 86-08A.
790 $a 0433
791 $a Ph.D.
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