PhD Theses
PhD candidates work closely with their supervisor and faculty to author insightful dissertations that advance financial knowledge and practices and are worthy of publication in professional journals.
Below is the list of doctoral theses successfully defended since programme inception.
Forecasting long-term US equity returns with a steady-state Bayesian VAR
Forecasting long-term US equity returns with a steady-state Bayesian VAR: Adapting a Bayesian VAR with steady-state priors first iEssays on the Transmission of Unemployment and Monetary-Policy Shocks in the EU
Connectedness of Unemployment growth rates and GDP: I explain theoretically and empirically how connectedness and variability in tDisentangling the Low-Risk Effect - The Role of Volatility and Correlation in the Low-Risk Anomaly
Channels of the Low-Risk Effect: The low beta effect can be separated into distinct low volatility and low correlation components- Study the effect of climate related news sentiments: This paper develops a method to study the impact of climate related news sent
Understanding on Technological Origin of the Value Premium Dynamics
Understanding on Technological Origin of the Value Premium Dynamics: In asset pricing, mean reversion in productivity is known toEssays on Asset Management and Crypto Asset Pricing
The Delegation Gap: The Disposition Effect and Other People's Money: Using a unique dataset, this paper documents a "delegation gaA new Constrained IPCA Model and its Application in Climate Finance
On the application of the constrained IPCA model in climate finance: We study whether the US stock market is pricing exposures toEssays on the Riskiness of Value Stocks
Value Stocks Are Riskier: I propose a risk-based explanation of the value premium in which there are two components of the equityTwo Essays in Corporate Governance
Corporate Governance Networks and Financial Performance: I investigate the impact of two different corporate governance network co- Cross-asset Carry, Predictability and Timing: This paper shows the presence of both unconditional and conditional carry premia acr
Research of Energy Consumption on ESG Investment with Satellite Data
The Impact of Energy Consumption on the Equity Market: Implications for ESG investment: The study of energy consumption becomes moESG investing in Equity Country Selection
The Role of Firm-level ESG and ESG Momentum in the Predictability of Cross-sectional Country Returns: Recent years have witnessedForecasting Asset Return Volatility from Past Price Data
Forecasting Volatility With Price Thresholds: This paper develops a specification of return dynamics that incorporates price thresDynamic Models of Oil Forward Curves
The Oil Forward Curve Risk Premium’s Dynamic: A Practitioner’s Approach. I follow the methodology in Cortazar et al. (2022).Essays on Intangible Assets and Stock Returns
Employee Satisfaction and Long-run Stock Returns, 1984-2020: Economic theory predicts that, in the absence of mispricing, investin- Stress Testing: A Plea for Model Simplicity and Explanatory Variable Extension. The Federal Reserve supervisory stress test model
Essays on the Predictability of Asset Returns
Can Pricing Factors Aid Industry Rotation? This paper explores within-asset-class predictability specifically, in the cross-sectiTwo Essays on ESG Investing in Sovereign Bond Markets
Impact of ESG Criteria on the Risk and Return of Sovereign Bonds: We provide an assessment of the materiality and impact of ESG scSmart Beta & Factors Investing
Low Volatility Factor - Analysis of the Anomaly In Different Interest Rate Environment: We analyzed portfolios sorted by realizedAlternative Risk Premium: Workhorse or Trojan Horse?
Alternative Risk Premium: Workhorse or Trojan Horse? Diversified alternative risk premium (ARP) portfolios seek to generate absolu- Information in Noise: Strategic Trading under Autocorrelated Uninformed Orders. This paper extends the Foster and Viswanathan (199
- Multifractal volatility predictions with a high-dimensional state space using high frequency data with suppressed microstructure noise:
Two Essays on Deposit Insurance Coverage Levels
Deposit Insurance and Market Discipline: Limited coverage is a standard feature in deposit insurance schemes.Essays on Machine Learning in Corporate Finance
Machine Learning to Predict Equity Issues: Despite growing interest and practical use of machine learning algorithms within tradinScarcity Risk Premium & Liquidity Provision in Commodity Markets
Scarcity Risk Premium: This paper revisits the cost-of-carry model and proposes a decomposition of the futures basis that disentanETFs and Market Equilibrium: Evidence from FX and Equity
ETF Flows and FX: The thesis examines ETF markets' effect on anomalies on anomalies in FX and Equity markets.Essays on Sentiment in Asset Pricing
Sentimental Habits: Habits and sentiment are key psychological behaviours in asset pricing.Essays on Equity Strategies using Fundamental Momentum
Fundamental Momentum and equity returns: Can fundamental trends predict future returns and deliver alpha?Government Bonds in Emerging Asia: Term Structure Models and Style Factors
Effects of the US and China on Asian Government Bond Markets: We incorporate factors from the US, China and other Asian markets inEssays on Human Capital and on Momentum
How Much is Your Human Capital Worth? This study documents the annual returns on human capital for 22 countries, using a simple prEssays on Market Liquidity and Time-Varying Jump Dynamics in the Stock Market
Market Liquidity and Time-Varying Jump Intensity Dynamics in Aggregate Stock Market Returns: I find that significant time variatioEssays on Expected Prediction Error
Finite-Sample Bias in Cross-Validation and Pseudo-Out-of-Sample Testing: This paper analyses finite-sample bias in cross-validatioLiquidity of Futures Markets: Dynamics and Risk Premium
Liquidity in futures markets across asset classes: Futures offer a unique lens to analyze cross-market and asset class liquidity dTwo Essays on Currency Market and Sentiment
The Value of Currency Forecasts: This paper examines whether users of consensus currency forecasts can exploit information of relaClimate-related finance: studies of disclosure and temperature
What drives voluntary greenhouse gas emissions disclosure?: Voluntary disclosure should naturally arise in theory but may not in pInterpretable Liquidity Proxy in Fixed Income Markets and Application to the TIPS Market
A Robust and Interpretable Liquidity Proxy: In this paper we provide an operational definition of market and funding liquidity, anBack to Basis with Investment Consultants
The thesis includes two papers that investigate return predictability across asset classes and agency issues associated with investment consultantsSocial Factors of Financial Markets
Trust Based Origins of Disagreement in Financial Markets: Disagreement affects asset prices and several asset specific sources of- Have ETFs Dethroned Futures as Price Leaders in the Kingdom of Precious Metals?: With the advent of precious metal ETFs and mini-f
"Explicit Modeling of Time Variation of Diebold and Yilmaz Connectedness Measures"
Assessment of the Impact of Multivariate Heteroscedasticity on the Dynamics of the Diebold and Yilmaz Measures of Connectedness.The impact of Company Leverage on the CAPM and Parametric Portfolio Construction
This thesis is divided in two chapters, in which I analyze the impact of company leverage on stock returns and optimal portfolios.Forecasting Market Direction with Sentiment Indices
Successful market timing strategies depend on superior forecasting ability and the accuracy of market forecasts.Chimerica and Expected Return of Stocks
Chimerica and Expected Return of Chinese Stocks: Using various econometrics methods with varying degrees of success, my research fDynamic Asset Pricing with Funding-Shortfall Risk
Funding-Shortfall Risk and Asset Prices in General Equilibrium : Institutional investors, such as pensions and insurers, are typicPortfolio Allocation and Testing in Markov Switching Models
Constructing a Real-Time Regime Indicator for Asset Allocation: Modeling regimes directly from multiple asset class returns is a nTopics in Asset Prices and Crashes
Methodological Advances in Estimating Non-Gaussian Consumption-Based Asset Pricing Models: We contribute to the literature of rare