Now showing items 1-5 of 5

    • Essays in Asset Allocation 

      Gao, Xin
      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 (2017-05-17)
      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 ...
    • 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 ...