Doctoral Theses

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

Essays in Banking Sector Stability

Author(s) :
Krishnamurthy Vaidyanathan, PhD

2017

Dynamic Asset Pricing with Funding-Shortfall Risk

Author(s) :
Majid Hasan, PhD
Funding-Shortfall Risk and Asset Prices in General Equilibrium : Institutional investors, such as pensions and insurers, are typically constrained to hold enough wealth to be able to make their contractually promised payments to fund beneficiaries, and face a funding-shortfall risk. We seek to explore the optimal asset allocation strategies for institutions facing this risk, and its effects on...
2017

Portfolio Allocation and Testing in Markov Switching Models

Author(s) :
Douglas Chau, PhD
Constructing a Real-Time Regime Indicator for Asset Allocation: Modeling regimes directly from multiple asset class returns is a numerically challenging exercise. Here, we present an alternative approach to classifying regimes for a large number of assets through the construction of a single real-time regime indicator. The indicator is based on a dynamic factor model, using multi-frequency...
2016

Topics in Asset Prices and Crashes

Author(s) :
Messaoud Chibane, PhD
Methodological Advances in Estimating Non-Gaussian Consumption-Based Asset Pricing Models: We contribute to the literature of rare disaster events by constructing a robust methodology for estimating non-Gaussian extensions of the standard CCAPM. We demonstrate theoretically that, in the presence of consumption rare disaster events, all cumulants of order strictly higher than two help solve the...
2016

Two essays in Empirical Finance

Author(s) :
Harsh Parikh, PhD
The Cross-Sectional Dispersion and Volatility of Bond Returns and Manager Outperformance: This paper examines the link between fixed income manager outperformance and both longitudinal and cross-sectional volatility in the bond markets. By conditioning our analysis based on different market environments such as rising yield regimes and periods of increasing volatility, we show that opportunities...
2016

Effectiveness of Developed and Emerging Market FX Options In Active Currency Risk Management

Author(s) :
Suprita Vohra, PhD
Active Currency Risk Management Using Option Structures: This paper explores the effectiveness of currency options in international portfolios. While most academic focus has been on assessing currency risk in a portfolio via measures such as VaR, CVaR etc, several practitioners aim to use this risk in their portfolio as a source of excess returns. We look at the role of FX option structures...
2016

A Study of Asset Pricing in an Ageing Population

Author(s) :
Yasusori Iwanaga, PhD
When the Representative Agent Ages, Risk Attitude of an Aging Population - a Case of Japan: Demographic distribution influences asset pricing through shifting the agent’s risk attitude. I develop a simple preference model, "ageing agent utility", with a linear risk aversion function of age distribution in a time-separable utility. Two descriptors incorporate the dynamics of demography: the...
2016

Two essays played on the credit triangle: Implied Recovery Rates and Implied Ratings

Author(s) :
Jeroen Jansen, PhD
Local Volatility and the Recovery Rate of Corporate Bonds: The credit default swap (CDS) spread can be decomposed into the product of the probability of default and the loss given default. It is necessary to implement some structure on either the probability or the loss given default to disentangle them. With the help of a hybrid binomial tree for equities and a recovery function, Das and Hanouna...
2016

Bankruptcy Law Reforms and Enforcement: consequences on Bank Credit for SMEs

Author(s) :
Marco Ghitti, PhD
“Great Expectations” or “Side Effects”? Bankruptcy Law Reforms and Bank Credit for SMEs: A series of Italian Bankruptcy Law reforms, aiming to facilitate debt renegotiation and business continuation, allows us to disentangle how a change of creditor rights affects Bank Credit Market for SMEs. We exploit a new credit level dataset on bank credit, with more than 6.4 million pooled observations. By...
2016

Essays in Asset Pricing and Market Microstructure

Author(s) :
François Cocquemas, PhD
Does market incompleteness matter for market microstructure?: Market incompleteness should matter in theory, but it is difficult to identify and measure the magnitude of its effects, especially on market microstructure. We use a natural experiment at the Tel Aviv Stock Exchange (TASE) to analyze how order submission patterns, trading and hedging strategies, and overall market impact are affected...
2016

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