Now showing items 1-10 of 10

    • Essays in Asset Allocation 

      Gao, Xin (2016-05)
      This dissertation consists of two essays in asset allocation. In the first essay, I explore the question of how investors should optimally incorporate commodities in their multi-asset portfolios, or even if they should at ...
    • Essays on Disaster Risk and Equity Return Predictability 

      Liang, Shunlin (2016-05)
      This dissertation consists of two essays on disaster risk and equity return predictability. The first essay proposes new measures of firm-level and market level disaster risk from deviation of put-call symmetry, which is ...
    • Essays on Empirical International Asset Pricing 

      Chen, Shu-Hsiu; 0000-0001-5365-9931 (2019-06-13)
      This dissertation consists of two essays in empirical international asset pricing. In the first essay, I document carry trade returns based on the moments extracted from options on the underlying currencies. I establish ...
    • Essays on Liquidity Risk and Asset Pricing 

      Banerjee, Anandi (December 2)
      This dissertation consists of two essays on liquidity risk and asset pricing. In the first essay, I diagnose the impact of error-in-variables (EIV) on inferences in asset pricing models. I test the CAPM and the liquidity-adjusted ...
    • Essays on Oil Risk and Financial Markets 

      Ebrahimi, Nima (2019-06-13)
      The effects of oil price risk has always been one of the widely discussed topics in finance and macroeconomics. There is also some recent work which concentrate on the implications of higher moments risk premium in oil ...
    • Essays on the Term Structure of Interest Rates 

      Liu, Rui (2019-06-13)
      This dissertation consists of three essays on the term structure of interest rates. In the first essay, I provide evidence on the existence of unspanned macro risk. I investigate the usefulness of unspanned macro information ...
    • Essays on Volatility Risk and Security Returns 

      Hu, Guanglian (2019-06-13)
      This dissertation studies the determinants of expected option returns and equilibrium determinants of variance risk and the variance risk premium. In the first essay, I analyze the relation between expected option returns ...
    • Two Essays on Crude Oil Futures and Options Markets 

      Li, Bingxin 1977- (December 2)
      This dissertation consists of two essays on crude oil futures and options markets. The first essay investigates whether aggregate risk aversion and risk premiums in the crude oil market co-vary with the level of speculation. ...
    • Two Essays on Empirical Asset Pricing 

      Luo, Yangqiulu (December 2)
      This dissertation consists of two essays on empirical asset pricing. The first essay examines if the idiosyncratic risk is priced. Theories such as Merton (1987) predict that idiosyncratic risk should be priced when investors ...
    • TWO ESSAYS ON SHORT SELLING 

      Lee, Eun Ju 1975- (2013-05)
      This dissertation consists of two essays on short sellers' trading behavior. The first essay examines if short sellers exploit temporary mispricing in the equity market. Using a mispricing indicator that measures deviations ...