Three Essays On Asset Allocation And Asset Pricing
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Three Essays on Asset Pricing and Portfolio Allocation
Author | : Zhe Zhang |
Publisher | : |
Total Pages | : 264 |
Release | : 2004 |
Genre | : Capital assets pricing model |
ISBN | : |
Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance
Author | : Ehud Peleg |
Publisher | : ProQuest |
Total Pages | : 356 |
Release | : 2008 |
Genre | : Capital assets pricing model |
ISBN | : |
Three Essays in Asset Pricing and Portfolio Choice
Author | : Mahmoud Botshekan |
Publisher | : |
Total Pages | : 142 |
Release | : 2012 |
Genre | : |
ISBN | : 9789036103312 |
Three Essays in Asset Pricing
Author | : Selale Tuzel |
Publisher | : |
Total Pages | : 286 |
Release | : 2005 |
Genre | : Capital assets pricing model |
ISBN | : |
Three Essays on Asset Pricing
Author | : Byeongje An |
Publisher | : |
Total Pages | : |
Release | : 2016 |
Genre | : |
ISBN | : |
We analyze the joint problem of optimal investing and contribution decisions, when there is disutility associated with contributions. Interestingly, we find that the optimal portfolio decision often looks like a ``risky gambling" strategy where the pension sponsor increases the pension plan's allocation to risky assets in bad states. This is very different from the traditional prediction, where in economy downturns the pension sponsor should fully switch to the risk-free portfolio. Our solution method involves a separation of the pension sponsor's problem into a utility maximization problem and a disutility minimization one.
Three Essays in Empirical Asset Pricing
Author | : Alessio Alberto Saretto |
Publisher | : |
Total Pages | : 322 |
Release | : 2006 |
Genre | : Bonds |
ISBN | : |
Three Essays on Asset Pricing and Behavioral Finance
Author | : Huijing Li |
Publisher | : |
Total Pages | : 0 |
Release | : 2021 |
Genre | : |
ISBN | : |
This dissertation consists of three essays. In the first essay, we develop a model to study the role of CSR costs in the cross-section of stock returns. Our CAPM-based model predicts CSR factors are priced in the cross-section of stock returns. We then empirically test the implication of our pricing model by using data from MSCI ESG. The univariate analysis reveals that the quantile portfolio with the lowest CSR (social or environmental) cost beta significantly outperforms the highest CSR cost beta portfolio. In addition, we find negative and significant risk premiums on both the environmental and social risk factor. The second essay reports the results of three experimental studies that investigate the impact of moral identity (MI) on individuals' financial decision-making. Study 1 suggests that individuals' MI is negatively related to the willingness to invest (WTI) in an immoral portfolio. Study 2 shows that individuals with a low MI have a higher WTI for an immoral portfolio only when they are incentivized by a higher financial return. Study 3 reveals that when immoral stocks provide a higher return incentive, individuals with low MI do have a higher WTI, but only when they perceive themselves to be distant from the immoral company. When individuals perceive themselves to be physically close to an immoral company, they are less sensitive to the return incentive and their WTI is lower. In the third essay, we study human capital from the perspective of ex ante health perception. We obtain search volume data of medical symptoms from Google Trends and follow the methodology of Da, Engelberg, and Gao, (2015). We propose that increased (decreased) search volume of medical symptoms implies an ex ante decline (increase) in the value of health oriented human capital. We then use the inverse of our health concern index to proxy the health dimension of human capital (denoted as HHC). We estimate stock exposure (beta) to the HHC, and a univariate analysis reveals the highest HHC beta portfolio significantly outperforms the lowest HHC beta portfolio. Also, our results suggest that the HHC is positively priced in the cross-section of stock returns.