Essays on Empirical Asset Pricing and Behavioural Finance
This thesis comprises three chapters. In the first, Digesting the Profitability and Investment Premia: Evidence from the Short-selling Activity', we highlight the different effects of short-selling activity on the profitability and investment premia. We find that the profitability premium disappears among the stocks with high short-selling activity, whereas the short-selling has no impact on the investment premium. We also show that the profitability premium is more likely than the investment...[Show more]
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