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.
A new Constrained IPCA Model and its Application in Climate FinanceOn the application of the constrained IPCA model in climate finance: We study whether the US stock market is pricing exposures to
Essays on the Riskiness of Value StocksValue Stocks Are Riskier: I propose a risk-based explanation of the value premium in which there are two components of the equity
Two Essays in Corporate GovernanceCorporate 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 DataThe Impact of Energy Consumption on the Equity Market: Implications for ESG investment: The study of energy consumption becomes mo
ESG investing in Equity Country SelectionThe Role of Firm-level ESG and ESG Momentum in the Predictability of Cross-sectional Country Returns: Recent years have witnessed
Forecasting Asset Return Volatility from Past Price DataForecasting Volatility With Price Thresholds: This paper develops a specification of return dynamics that incorporates price thres
Dynamic Models of Oil Forward CurvesThe 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 ReturnsEmployee 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 ReturnsCan Pricing Factors Aid Industry Rotation? This paper explores within-asset-class predictability specifically, in the cross-secti
Two Essays on ESG Investing in Sovereign Bond MarketsImpact of ESG Criteria on the Risk and Return of Sovereign Bonds: We provide an assessment of the materiality and impact of ESG sc
Smart Beta & Factors InvestingLow Volatility Factor - Analysis of the Anomaly In Different Interest Rate Environment: We analyzed portfolios sorted by realized
Alternative 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
Deep learning versus multifractal volatility forecasting using high frequency data with suppressed microstructure noiseMultifractal volatility predictions with a high-dimensional state space using high frequency data with suppressed microstructure noise:
Two Essays on Deposit Insurance Coverage LevelsDeposit Insurance and Market Discipline: Limited coverage is a standard feature in deposit insurance schemes.
Essays on Machine Learning in Corporate FinanceMachine Learning to Predict Equity Issues: Despite growing interest and practical use of machine learning algorithms within tradin
Scarcity Risk Premium & Liquidity Provision in Commodity MarketsScarcity Risk Premium: This paper revisits the cost-of-carry model and proposes a decomposition of the futures basis that disentan
ETFs and Market Equilibrium: Evidence from FX and EquityETF Flows and FX: The thesis examines ETF markets' effect on anomalies on anomalies in FX and Equity markets.
Essays on Sentiment in Asset PricingSentimental Habits: Habits and sentiment are key psychological behaviours in asset pricing.
Essays on Equity Strategies using Fundamental MomentumFundamental Momentum and equity returns: Can fundamental trends predict future returns and deliver alpha?
Government Bonds in Emerging Asia: Term Structure Models and Style FactorsEffects of the US and China on Asian Government Bond Markets: We incorporate factors from the US, China and other Asian markets in
Essays on Human Capital and on MomentumHow Much is Your Human Capital Worth? This study documents the annual returns on human capital for 22 countries, using a simple pr
Essays on Market Liquidity and Time-Varying Jump Dynamics in the Stock MarketMarket Liquidity and Time-Varying Jump Intensity Dynamics in Aggregate Stock Market Returns: I find that significant time variatio
Essays on Expected Prediction ErrorFinite-Sample Bias in Cross-Validation and Pseudo-Out-of-Sample Testing: This paper analyses finite-sample bias in cross-validatio
Liquidity of Futures Markets: Dynamics and Risk PremiumLiquidity in futures markets across asset classes: Futures offer a unique lens to analyze cross-market and asset class liquidity d
Two Essays on Currency Market and SentimentThe Value of Currency Forecasts: This paper examines whether users of consensus currency forecasts can exploit information of rela
Interpretable Liquidity Proxy in Fixed Income Markets and Application to the TIPS MarketA Robust and Interpretable Liquidity Proxy: In this paper we provide an operational definition of market and funding liquidity, an
Climate-related finance: studies of disclosure and temperatureWhat drives voluntary greenhouse gas emissions disclosure?: Voluntary disclosure should naturally arise in theory but may not in p
Back to Basis with Investment ConsultantsThe thesis includes two papers that investigate return predictability across asset classes and agency issues associated with investment consultants
Social Factors of Financial MarketsTrust Based Origins of Disagreement in Financial Markets: Disagreement affects asset prices and several asset specific sources of
Essays on ETFs and Futures in Commodity Space: Price Discovery Dynamics and the Physical-versus-Synthetic DebateHave 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.
Forecasting Market Direction with Sentiment IndicesSuccessful market timing strategies depend on superior forecasting ability and the accuracy of market forecasts.
The impact of Company Leverage on the CAPM and Parametric Portfolio ConstructionThis thesis is divided in two chapters, in which I analyze the impact of company leverage on stock returns and optimal portfolios.
Chimerica and Expected Return of StocksChimerica and Expected Return of Chinese Stocks: Using various econometrics methods with varying degrees of success, my research f
Dynamic Asset Pricing with Funding-Shortfall RiskFunding-Shortfall Risk and Asset Prices in General Equilibrium : Institutional investors, such as pensions and insurers, are typic
Portfolio Allocation and Testing in Markov Switching ModelsConstructing a Real-Time Regime Indicator for Asset Allocation: Modeling regimes directly from multiple asset class returns is a n
Topics in Asset Prices and CrashesMethodological Advances in Estimating Non-Gaussian Consumption-Based Asset Pricing Models: We contribute to the literature of rare
Two essays in Empirical FinanceThe Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance: This paper examines the link between fix
Effectiveness of Developed and Emerging Market FX Options In Active Currency Risk ManagementActive Currency Risk Management Using Option Structures: This paper explores the effectiveness of currency options in internationa
A Study of Asset Pricing in an Ageing PopulationWhen the Representative Agent Ages, Risk Attitude of an Aging Population - a Case of Japan: Demographic distribution influences as
Two essays played on the credit triangle: Implied Recovery Rates and Implied RatingsLocal Volatility and the Recovery Rate of Corporate Bonds: The credit default swap (CDS) spread can be decomposed into the product
Bankruptcy Law Reforms and Enforcement: consequences on Bank Credit for SMEs“Great Expectations” or “Side Effects”?
Essays in Asset Pricing and Market MicrostructureDoes market incompleteness matter for market microstructure?: Market incompleteness should matter in theory, but it is difficult t