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Essays in Financial Economics- [electronic resource]
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Essays in Financial Economics- [electronic resource]
상세정보
- 자료유형
- 학위논문파일 국외
- 최종처리일시
- 20240214100441
- ISBN
- 9798379612887
- DDC
- 658
- 저자명
- Sigalov, Roman.
- 서명/저자
- Essays in Financial Economics - [electronic resource]
- 발행사항
- [S.l.]: : Harvard University., 2023
- 발행사항
- Ann Arbor : : ProQuest Dissertations & Theses,, 2023
- 형태사항
- 1 online resource(209 p.)
- 주기사항
- Source: Dissertations Abstracts International, Volume: 84-12, Section: A.
- 주기사항
- Advisor: Campbell, John.
- 학위논문주기
- Thesis (Ph.D.)--Harvard University, 2023.
- 사용제한주기
- This item must not be sold to any third party vendors.
- 초록/해제
- 요약This dissertation contains three essays in financial economics. The first chapter builds a bridge between the real decisions of firms and the distribution of their returns and option prices. As a result, it connects two strands of literature, financial engineering, and cross-sectional asset pricing, that have been historically disconnected. The second chapter shows how a sustainable spending constraint introduced in an otherwise standard portfolio choice model of an investor with power utility leads to reaching for yield. The last chapter studies the variation in the factor structure for significant market events such as macroeconomic announcements and periods of unusual market dynamics. During these events, both the distribution of latent factors extracted with statistical techniques and the role of firm characteristics in explaining returns change. We propose two methodologies, Treatment and Boosted IPCA, to capture the differences in factor structure.
- 일반주제명
- Finance.
- 키워드
- Factor analysis
- 키워드
- PCA
- 키워드
- Portfolio choice
- 키워드
- Real options
- 기타저자
- Harvard University Business Economics
- 기본자료저록
- Dissertations Abstracts International. 84-12A.
- 기본자료저록
- Dissertation Abstract International
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■00520240214100441
■006m o d
■007cr#unu||||||||
■020 ▼a9798379612887
■035 ▼a(MiAaPQ)AAI30491269
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aSigalov, Roman.▼0(orcid)0009-0001-1361-5608
■24510▼aEssays in Financial Economics▼h[electronic resource]
■260 ▼a[S.l.]:▼bHarvard University. ▼c2023
■260 1▼aAnn Arbor :▼bProQuest Dissertations & Theses, ▼c2023
■300 ▼a1 online resource(209 p.)
■500 ▼aSource: Dissertations Abstracts International, Volume: 84-12, Section: A.
■500 ▼aAdvisor: Campbell, John.
■5021 ▼aThesis (Ph.D.)--Harvard University, 2023.
■506 ▼aThis item must not be sold to any third party vendors.
■520 ▼aThis dissertation contains three essays in financial economics. The first chapter builds a bridge between the real decisions of firms and the distribution of their returns and option prices. As a result, it connects two strands of literature, financial engineering, and cross-sectional asset pricing, that have been historically disconnected. The second chapter shows how a sustainable spending constraint introduced in an otherwise standard portfolio choice model of an investor with power utility leads to reaching for yield. The last chapter studies the variation in the factor structure for significant market events such as macroeconomic announcements and periods of unusual market dynamics. During these events, both the distribution of latent factors extracted with statistical techniques and the role of firm characteristics in explaining returns change. We propose two methodologies, Treatment and Boosted IPCA, to capture the differences in factor structure.
■590 ▼aSchool code: 0084.
■650 4▼aFinance.
■653 ▼aFactor analysis
■653 ▼aPCA
■653 ▼aPortfolio choice
■653 ▼aProduction based models
■653 ▼aReal options
■690 ▼a0508
■690 ▼a0501
■690 ▼a0505
■71020▼aHarvard University▼bBusiness Economics.
■7730 ▼tDissertations Abstracts International▼g84-12A.
■773 ▼tDissertation Abstract International
■790 ▼a0084
■791 ▼aPh.D.
■792 ▼a2023
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T16932306▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
■980 ▼a202402▼f2024
