Essays in asset pricing
- Rasekhschaffe, Keywan Christian
- Barone-Adesi, Giovanni (Degree supervisor)
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13.06.2014
Thèse de doctorat: Università della Svizzera italiana, 2014
English
My dissertation consists of three main chapters; I focus on empirical aspects of asset pricing. I identify anomalies in equities, relate the book-to-market anomaly and the size anomaly to cash-flow risk, and document a strong cross-sectional predictor of FX volatility returns. In the first part of my dissertation I show that Gross Yield negatively predicts returns in the cross section of equities. In the second part of my dissertation I explore the role of cash-flow risk in driving book-to-market and size related returns. Furthermore, I show that equity returns increase with higher cashflow beta. In the third part I show that the ratio of implied to historical volatility explains the cross-section of FX variance swap returns. This ratio also predicts underlying currency returns.
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 210226
- URN urn:nbn:ch:rero-006-112882
- ARK ark:/12658/srd1318630
- Persistent URL
- https://n2t.net/ark:/12658/srd1318630
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