Essays on Empirical International Asset Pricing

Simple item page
dc.contributor.advisorJacobs, Kris
dc.contributor.committeeMemberSusmel, Raul
dc.contributor.committeeMemberDoshi, Hitesh
dc.contributor.committeeMemberKao, Edward P. C.
dc.creatorChen, Shu-Hsiu
dc.creator.orcid0000-0001-5365-9931
dc.date.accessioned2019-09-14T23:06:13Z
dc.date.available2019-09-14T23:06:13Z
dc.date.createdMay 2019
dc.date.issued2019-05
dc.date.submittedMay 2019
dc.date.updated2019-09-14T23:06:13Z
dc.description.abstractThis 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 three important results. First, a currency pair is predicted to have greater excess returns if option-implied returns are more volatile, are more left-skewed, and have fatter tails than the returns of other currency pairs. Second, strategies based on option-implied information improve on benchmark strategies based on realized market returns and macroeconomic data. Third, if the option-implied returns of a currency pair are more left-skewed than in the past, anti-carry trades rather than carry trades perform better. In the second essay, I examine the relation between ex ante skewness and the cross-section of country-specific index returns. I show that the ex ante skewness measured using country-specific index options is negatively related to country-specific returns in the cross-section. The results are robust to controlling for volatility risk, macroeconomic variables, sensitivities to the international factor risks, and realized return moments. Trading strategies based on ex ante skewness which outperform benchmark strategies based on the aforementioned control variables. I also provide evidence of time-series return predictability using ex ante skewness for Asian and non-euro area European countries. These results suggest that investors in international indices are compensated for the exposure to skewness risk.
dc.description.departmentFinance, Department of
dc.format.digitalOriginborn digital
dc.format.mimetypeapplication/pdf
dc.identifier.citationPortions of this document appear in: Chen, Shu-Hsiu. "Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies." Journal of International Money and Finance 78 (2017): 1-20.
dc.identifier.urihttps://hdl.handle.net/10657/4641
dc.language.isoeng
dc.rightsThe author of this work is the copyright owner. UH Libraries and the Texas Digital Library have their permission to store and provide access to this work. UH Libraries has secured permission to reproduce any and all previously published materials contained in the work. Further transmission, reproduction, or presentation of this work is prohibited except with permission of the author(s).
dc.subjectOptions
dc.subjectSkewness
dc.subjectVolatility
dc.subjectCarry Trade
dc.subjectInternational Investments
dc.titleEssays on Empirical International Asset Pricing
dc.type.dcmiText
dc.type.genreThesis
thesis.degree.collegeC. T. Bauer College of Business
thesis.degree.departmentFinance, Department of
thesis.degree.disciplineBusiness Administration
thesis.degree.grantorUniversity of Houston
thesis.degree.levelDoctoral
thesis.degree.nameDoctor of Philosophy

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
CHEN-DISSERTATION-2019.pdf
Size:
3.01 MB
Format:
Adobe Portable Document Format
Download

License bundle

Now showing 1 - 2 of 2
No Thumbnail Available
Name:
PROQUEST_LICENSE.txt
Size:
4.43 KB
Format:
Plain Text
Description:
Download
No Thumbnail Available
Name:
LICENSE.txt
Size:
1.81 KB
Format:
Plain Text
Description:
Download

Collections

Published ETD Collection