Doctoral Theses

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

Essays on ETFs and Futures in Commodity Space: Price Discovery Dynamics and the Physical-versus-Synthetic Debate

Author(s) :
Soner Kistak, PhD
Have ETFs Dethroned Futures as Price Leaders in the Kingdom of Precious Metals?: With the advent of precious metal ETFs and mini-futures in the 2000s, precious metal (PM) investment, once reserved for institutions, has become increasingly available to retail investors. This innovation has significantly increased the product choices available to gold, silver, platinum, and palladium investors. For...
2018

The impact of Company Leverage on the CAPM and Parametric Portfolio Construction

Author(s) :
Stefano Dova, PhD
This thesis is divided in two chapters, in which I analyze the impact of company leverage on stock returns and optimal portfolios. In the first chapter, I derive a CAPM for levered equity from the unlevered one-factor CAPM (or asset CAPM), correcting for the presence of debt at both the individual company and market level. I show that the levered representation of the one-factor asset CAPM...
2018

Forecasting Market Direction with Sentiment Indices

Author(s) :
David Mascio, PhD
Successful market timing strategies depend on superior forecasting ability and the accuracy of market forecasts. We use six predictive models to forecast the S&P 500 Index (SPX) consisting of investor sentiment, current business conditions, economic policy uncertainty, market dislocation information, credit spreads, and financial uncertainty. These indices are combined to create two...
2018

Chimerica and Expected Return of Stocks

Author(s) :
Jasmine Yu, PhD
Chimerica and Expected Return of Chinese Stocks: Using various econometrics methods with varying degrees of success, my research finds that the Chimerica phenomenon possibly exists in expected return of Chinese stocks, reflecting the symbiotic macroeconomic linkage between the two countries. The larger the corporation, the more “Chimerica” it is. Chimerica is a noticeable factor that exhibits...
2018

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