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Essays in Financial Economics
Essays in Financial Economics
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20250211151103
- ISBN
- 9798382777153
- DDC
- 658
- 저자명
- Zheng, Jingtao.
- 서명/저자
- Essays in Financial Economics
- 발행사항
- [Sl] : The University of Chicago, 2024
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2024
- 형태사항
- 141 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 85-12, Section: A.
- 주기사항
- Advisor: Rajan, Raghuram;Du, Wenxin.
- 학위논문주기
- Thesis (Ph.D.)--The University of Chicago, 2024.
- 초록/해제
- 요약This dissertation, consisting of 2 chapters, explores how institutional investors play an important role in financial markets.In Chapter 1, I first present a new asset pricing anomaly: a simple dividend-based currency strategy, which shorts a currency on the date its country's recent aggregate dividend payment by listed companies is large, exhibits a significant Sharpe ratio and alpha not explained by standard factors in the currency market. To understand this anomaly, I identify the significant price impact of predetermined dividend payments on exchange rates around payment dates. I propose a dividend repatriation channel where benchmark investors (ETFs and mutual funds) predictably repatriate a certain proportion of dividends received in local currency. I build a model in which heterogeneous financial intermediaries with limited risk-bearing capacity accommodate benchmark investors' currency demands stemming from dividend repatriation flows. In line with the model's implications, I find that the price impact of dividend flows on FX around the payment date is large when the intermediary capital ratio is low, CIP deviations are large, and FX implied volatilities are high. My findings have implications for currency-market elasticity, capital regulations, and FX regimes.In Chapter 2, I develop a machine learning procedure to estimate investors' demand system in high dimension, which accommodates a large universe of stock characteristics, including price-based characteristics (e.g., momentum, valuation ratio, etc.). I propose an identification strategy based on the inter-temporal structure of latent demand to address the endogeneity of price-based characteristics, in addition to the instrumental variables. Using the U.S. stock market data, I illustrate how we can use the estimated high-dimensional demand system to analyze the time variations in the importance of stock characteristics in investors' holdings, each stock characteristic's impact on cross-sectional stock returns, and identify which investors are significant for characteristic pricing.
- 일반주제명
- Finance
- 키워드
- Demand system
- 키워드
- Machine learning
- 기타저자
- The University of Chicago Business and Economics
- 기본자료저록
- Dissertations Abstracts International. 85-12A.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■006m o d
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■020 ▼a9798382777153
■035 ▼a(MiAaPQ)AAI31143180
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aZheng, Jingtao.▼0(orcid)0009-0001-7500-7966
■24510▼aEssays in Financial Economics
■260 ▼a[Sl]▼bThe University of Chicago▼c2024
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2024
■300 ▼a141 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 85-12, Section: A.
■500 ▼aAdvisor: Rajan, Raghuram;Du, Wenxin.
■5021 ▼aThesis (Ph.D.)--The University of Chicago, 2024.
■520 ▼aThis dissertation, consisting of 2 chapters, explores how institutional investors play an important role in financial markets.In Chapter 1, I first present a new asset pricing anomaly: a simple dividend-based currency strategy, which shorts a currency on the date its country's recent aggregate dividend payment by listed companies is large, exhibits a significant Sharpe ratio and alpha not explained by standard factors in the currency market. To understand this anomaly, I identify the significant price impact of predetermined dividend payments on exchange rates around payment dates. I propose a dividend repatriation channel where benchmark investors (ETFs and mutual funds) predictably repatriate a certain proportion of dividends received in local currency. I build a model in which heterogeneous financial intermediaries with limited risk-bearing capacity accommodate benchmark investors' currency demands stemming from dividend repatriation flows. In line with the model's implications, I find that the price impact of dividend flows on FX around the payment date is large when the intermediary capital ratio is low, CIP deviations are large, and FX implied volatilities are high. My findings have implications for currency-market elasticity, capital regulations, and FX regimes.In Chapter 2, I develop a machine learning procedure to estimate investors' demand system in high dimension, which accommodates a large universe of stock characteristics, including price-based characteristics (e.g., momentum, valuation ratio, etc.). I propose an identification strategy based on the inter-temporal structure of latent demand to address the endogeneity of price-based characteristics, in addition to the instrumental variables. Using the U.S. stock market data, I illustrate how we can use the estimated high-dimensional demand system to analyze the time variations in the importance of stock characteristics in investors' holdings, each stock characteristic's impact on cross-sectional stock returns, and identify which investors are significant for characteristic pricing.
■590 ▼aSchool code: 0330.
■650 4▼aFinance
■653 ▼aBenchmark investor
■653 ▼aDemand system
■653 ▼aDividend repatriation
■653 ▼aForeign exchange rate
■653 ▼aIntermediary constraints
■653 ▼aMachine learning
■690 ▼a0508
■690 ▼a0511
■690 ▼a0601
■71020▼aThe University of Chicago▼bBusiness and Economics.
■7730 ▼tDissertations Abstracts International▼g85-12A.
■790 ▼a0330
■791 ▼aPh.D.
■792 ▼a2024
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17160702▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
