Doctoral Theses

Author(s) :
Lina Nassar, PhD
The Role of Firm-level ESG and ESG Momentum in the Predictability of Cross-sectional Country Returns:  Recent years have witnessed a rise in Environmental, Social and Governance (ESG) investing across global markets and asset classes. While this has spurred a growing body of literature on the topic, existing empirical studies have focused on the stock level in the equities space, leaving...
2022

Author(s) :
Nobuaki Kato, PhD
Forecasting Volatility With Price Thresholds. This paper develops a specification of return dynamics that incorporates price thresholds for volatility forecasting. The new forecasting approach is to specify a time-varying transition matrix of the Markov Switching (MS) model in which the relative position of an asset price to its threshold determines future volatility. This price threshold is...
2022

Author(s) :
Nikolai Semtchouk, PhD
Accuracy of Relative Valuation Methods in the U.S. Banking Sector. In our paper we examine the accuracy of relative valuation methodologies in assessing equity values of U.S. banks. The methodologies we use include price-and book-based multiples, including forward-looking and historical earnings, adjusted book values and multiples, conditioned on a number of bank-specific fundamental factors....
2022

Author(s) :
Xavier Fixaris, PhD
The Oil Forward Curve Risk Premium’s Dynamic: A Practitioner’s Approach. I follow the methodology in Cortazar et al. (2022). I first validate their approach and then extend it by considering both Brent and West Texas Intermediate (WTI) futures, and incorporating two independent sources of forecasts (Reuters and Bloomberg). I empirically test explanatory variables for oil’s risk premia,...
2022

Author(s) :
Young Dae Kang, PhD
Employee Satisfaction and Long-run Stock Returns, 1984-2020.  Economic theory predicts that, in the absence of mispricing, investing in socially responsible businesses should have lower expected returns in equilibrium. In contrast, in an influential paper, Edmans (2011) shows that a portfolio of the “100 Best Companies to Work For in America” (BCs) earns a positive and significant Carhart...
2022

Author(s) :
Chayaluck Garun Chompucot, PhD
Stress Testing: A Plea for Model Simplicity and Explanatory Variable Extension.  The Federal Reserve supervisory stress test model endeavors to gauge the extent of capital required to withstand unexpected crises. However, the complex multi-equation modelling approach similar to the approaches normally used by the Federal Reserve produces the worst prediction inaccuracies as compared to...
2022

Author(s) :
Navneesh Malhan, PhD
Can Pricing Factors Aid Industry Rotation?   This paper explores within-asset-class predictability specifically, in the cross-section of industry returns by leveraging factors in standard asset pricing models. Industry returns exhibit the interplay between cross-section and time-series dynamics since they are at a level of aggregation between stocks and the broad market. By studying...
2022

Author(s) :
Lou-Salomé Vallée, PhD
Impact of ESG Criteria on the Risk and Return of Sovereign Bonds. We provide an assessment of the materiality and impact of ESG scores taken individually on key risk and return indicators of relevance to asset owners in both developed and emerging markets[1]. Our main goal is to analyze whether cross-sectional differences in the risk and return of sovereign bonds from various developed and...
2022

Author(s) :
Bacem Rezgui, PhD
Low Volatility Factor - Analysis of the Anomaly In Different Interest Rate Environment. We analyzed portfolios sorted by realized volatility on the US equity universe over a long historical period (from 1966 to 2016) and confirm the low volatility anomaly; that low-risk portfolios show a higher risk-adjusted return than a high-risk portfolio. We found that, during months...
2021

Author(s) :
Stephen A. Gorman, PhD
Alternative Risk Premium: Workhorse or Trojan Horse? Diversified alternative risk premium (ARP) portfolios seek to generate absolute returns using a broad range of systematic trading strategies incorporating multiple investment styles covering all the major asset classes. Following a period of rapid adoption, disappointing performance over the 2018-2020 period has produced considerable soul...
2021

Author(s) :
Vladislav Gounas, PhD
Information in Noise: Strategic Trading under Autocorrelated Uninformed Orders. This paper extends the Foster and Viswanathan (1996) model by allowing uninformed orders to exhibit a general correlation structure which generates autocorrelation in the order flow. Since the order flow is predictable, informed traders and the market maker not only need to infer information about the asset value...
2021

Author(s) :
John Collins, PhD
Multifractal volatility predictions with a high-dimensional state space using high frequency data with suppressed microstructure noise: The Markov-switching multifractal stochastic volatility model (MSM) of Calvet & Fisher (2004, 2008a) permits the parsimonious specification of a high-dimensional state space. I show that out-of-sample performance improved when the state space was...
2021

Author(s) :
Juan Carlos Quintero, PhD
Deposit Insurance and Market Discipline: Limited coverage is a standard feature in deposit insurance schemes. It is used to limit moral hazard, and achieves this objective by reinforcing market discipline: depositors have more incentives to monitor banks’ risk-taking if they have skin in the game. In this paper, I study market discipline and coverage levels by analyzing the relationship of...
2021

Author(s) :
Satyajit Saste, PhD
Machine Learning to Predict Equity Issues: Despite growing interest and practical use of machine learning algorithms within trading, there has been little exploration of these techniques in corporate finance. This paper tries to identify equity issues across the capital structure through a predictive framework built using a Tree-based Machine Learning Technique. The most significant...
2021

Author(s) :
Thibault Lair, PhD
Scarcity Risk Premium. This paper revisits the cost-of-carry model and proposes a decomposition of the futures basis that disentangles the seasonality risk premium from the scarcity risk premium. The contribution of this paper to the asset pricing literature is threefold. First, it brings novel insights on the fundamental relationship between the futures basis and...
2021

Author(s) :
Sanjay Misra, PhD
The thesis examines ETF markets' effect on anomalies on anomalies in FX and Equity markets. In the first chapter, we study the linkage between two different types of ETF order flows and foreign exchange rates. We find that equity and currency ETF order flows provide two separate information sources that currency markets aggregate. We report that equity ETF order flows represent demand or buying...
2021

Author(s) :
Eric Tham, PhD
Sentimental Habits Habits and sentiment are key psychological behaviours in asset pricing. This paper studies the interactive impacts of sentiment and habits on asset pricing using the Campbell and Cochrane (1999) habit model as a framework model. A positive sentiment shock emanating from firms is modelled in consumption drift and the habits sensitivity. It has a lagged effect on intertemporal...
2021

Author(s) :
Bijon Pani, PhD
Fundamental Momentum and equity returns: Can fundamental trends predict future returns and deliver alpha? Fundamental trends carry information about future equity returns that are not captured by the level of the fundamental metrics themselves. This trend information is also not fully explained by factor models or price momentum. This paper presents a model that uses fundamental trend in a firm’s...
2020

Author(s) :
Cheryl Lim, PhD
Effects of the US and China on Asian Government Bond Markets: We incorporate factors from the US, China and other Asian markets in the term structure models of local currency Asian government bond markets of China, India, Indonesia and Singapore, by using a time-varying parameter vector auto-regression to extend the Nelson-Siegel yield curve model. Our approach shows that incorporating these...
2020

Author(s) :
Seokkeun Ha, PhD
How Much is Your Human Capital Worth? This study documents the annual returns on human capital for 22 countries, using a simple present value model as the main measurement framework. The global human capital portfolio yields a compounded annual return in US dollars of 7.2% from 1961 to 2015, with a standard deviation of 11.54%. When human capital is included in the market portfolio, the CAPM,...
2020

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