Two Essays in Empirical Asset Pricing
| dc.contributor.author | Nardi, Flavio | |
| dc.date.accessioned | 2017-11-20T00:07:32Z | |
| dc.date.available | 2017-11-20T00:07:32Z | |
| dc.date.issued | 2017 | |
| dc.description.abstract | This thesis includes two research papers in the area of empirical asset pricing. In the first research paper titled "Option implied moments and risk aversion", under reasonable assumptions, I provide empirical evidence that index options implied higher moments can predict the index returns and Sharpe ratio. Specifically, I present a method to recover option implied subjective moments of the S\&P500 index under the assumption of no arbitrage and logarithmic utility. This result adds further evidence to the extensive finance literature that claims that market returns are predictable. In the second research paper titled "Expected returns: systematic risk or firm characteristics" I provide empirical evidence that expected returns can be viewed as determined by the exposure of firm returns to systematic factors that are based on firm characteristics, and not directly to the cross--sectional differences in the firm characteristics. This result addresses an ongoing debate within the empirical asset pricing literature as to whether the cross--section of expected returns is "explained" by the loadings to systematic factors or by differences in firm characteristics. The evidence I provide supports the loading to systematic factors story, consistent with the consumption asset pricing model. | en_AU |
| dc.identifier.other | b47392551 | |
| dc.identifier.uri | http://hdl.handle.net/1885/133863 | |
| dc.language.iso | en | en_AU |
| dc.subject | Empirical asset pricing | en_AU |
| dc.title | Two Essays in Empirical Asset Pricing | en_AU |
| dc.type | Thesis (MPhil) | en_AU |
| dcterms.valid | 2017 | en_AU |
| local.contributor.affiliation | Research School of Finance, Actuarial Studies & Statistics, College of Business and Economics, The Australian National University | en_AU |
| local.contributor.authoremail | nardi70@gmail.com | en_AU |
| local.contributor.supervisor | Yamada, Takeshi | |
| local.contributor.supervisorcontact | takeshi.yamada@anu.edu.au | en_AU |
| local.description.notes | the author deposited 20/11/2017 | en_AU |
| local.identifier.doi | 10.25911/5d70efffc0951 | |
| local.mintdoi | mint | |
| local.type.degree | Master of Philosophy (MPhil) | en_AU |