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      Doctoral Theses

      Essays on Strategic Trading

      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

      Deep learning versus multifractal volatility forecasting using high frequency data with suppressed microstructure noise

      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

      Two Essays on Deposit Insurance Coverage Levels

      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

      Essays on Machine Learning in Corporate Finance

      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

      Scarcity Risk Premium & Liquidity Provision in Commodity Markets

      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

      ETFs and Market Equilibrium: Evidence from FX and Equity

      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

      Essays on Sentiment in Asset Pricing

      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

      Essays on Equity Strategies using Fundamental Momentum

      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

      Government Bonds in Emerging Asia: Term Structure Models and Style Factors

      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

      Essays on Human Capital and on Momentum

      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

      Essays on Market Liquidity and Time-Varying Jump Dynamics in the Stock Market

      Author(s) :
      Ichiro Tange, PhD
      Market Liquidity and Time-Varying Jump Intensity Dynamics in Aggregate Stock Market Returns I find that significant time variations in the aggregate stock market's jump intensity are partly attributable to a market liquidity dynamic, although a latent information dynamic captured by an approximate autoregressive moving average (ARMA) form of stock market returns is also driving the jump...
      2020

      Essays on Expected Prediction Error

      Author(s) :
      Ian Hunt, PhD
      Finite-Sample Bias in Cross-Validation and Pseudo-Out-of-Sample Testing: This paper analyses finite-sample bias in cross-validation estimates of expected prediction error. A significant risk of positive bias against flexible models is identified— this bias has practical implications for assessing curve-fitting models in finance and economics, for example when comparing regime-change models...
      2020

      Essays in Household Finance

      Author(s) :
      Mads Hesselhold, PhD
      Is Risk Aversion Really Constant? A Reinvestigation with Danish Micro-Level Data: This study revisits the important and widely used constant relative risk aversion (CRRA) assumption using a new and proprietary panel data set that is not exposed to inertia. It specifically tests whether individuals' risk preferences change in response to changes in nancial wealth at a micro level. The...
      2020

      Liquidity of Futures Markets: Dynamics and Risk Premium

      Author(s) :
      Mark Refermat, PhD
      Liquidity in futures markets across asset classes: Futures offer a unique lens to analyze cross-market and asset class liquidity dynamics due to their broad market and asset class representation and comparability. This analysis is to use futures markets to understand liquidity commonality and idiosyncrasy inter and intra asset class and to examine if liquidity shocks are related and have...
      2020

      Two Essays on Currency Market and Sentiment

      Author(s) :
      Robert Normand, PhD
      The Value of Currency Forecasts: This paper examines whether users of consensus currency forecasts can exploit information of relative ranking of currency expected returns. Despite currency forecasters are not able to beat a random walk as a single currency forecast, the rank expected returns could lead to significant abnormal returns. The rank currency forecasts are explained by the main generic...
      2019

      Interpretable Liquidity Proxy in Fixed Income Markets and Application to the TIPS Market

      Author(s) :
      Hong Sherwin, PhD
      A Robust and Interpretable Liquidity Proxy: In this paper we provide an operational definition of market and funding liquidity, and we introduce a method to create two corresponding liquidity measures. The construction is based on creating two parsimonious linear combinations of many liquidity proxies often used in the literature. We manage to attribute a precise financial interpretation to our...
      2019

      Climate-related finance: studies of disclosure and temperature

      Author(s) :
      Jonathan Harris, PhD
      What drives voluntary greenhouse gas emissions disclosure?: Voluntary disclosure should naturally arise in theory but may not in practice due to real world frictions. This paper investigates climate-related disclosure in a comprehensive, global panel of publicly listed firms from 2010-2017, studying a diverse set of firm, sector and geographic characteristics, as predictors of response to the...
      2019

      Back to Basis with Investment Consultants

      Author(s) :
      Marat MOLYBOGA, PhD
      The thesis includes two papers that investigate return predictability across asset classes and agency issues associated with investment consultants. The first paper provides an explanation to the pervasive pattern of return predictability across asset classes discussed in Cochrane (2011). The paper shows analytically that the basis between spot and futures contracts contains information about...
      2019

      Impact of corporate social responsibility on corporate financial performance and credit ratings: Evidence from Asia

      Author(s) :
      Peck Wah NG, PhD

      2019

      Social Factors of Financial Markets

      Author(s) :
      Anmol Sethy, PhD
      Trust Based Origins of Disagreement in Financial Markets: Disagreement affects asset prices and several asset specific sources of disagreement have been identified. Still relatively little is known about the potential exogenous sources. This article presents evidence that one such exogenous source is societal trust. Trust leads to two kinds of behaviour - reliance on others and disclosure to...
      2019

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