Essays in Asset Pricing
Essays in Asset Pricing
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20250211151019
- ISBN
- 9798382729442
- DDC
- 658
- 저자명
- Kane, Andrew.
- 서명/저자
- Essays in Asset Pricing
- 발행사항
- [Sl] : Duke University, 2024
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2024
- 형태사항
- 263 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 85-11, Section: A.
- 주기사항
- Advisor: Clara, Nuno.
- 학위논문주기
- Thesis (Ph.D.)--Duke University, 2024.
- 초록/해제
- 요약I investigate determinants of equity and bond returns. In Chapter 2, I link product pricing behavior to firms' equity returns. Firms with less responsive product pricing earn higher average returns. I show this empirical fact is consistent with firms with less responsive pricing experiencing greater cashflow losses due to inflation, and investors demanding a risk premium to hold these firms' equity. In Chapter 3, my coauthors and I revisit several puzzling results in the literature that claim a disconnect between firms' asset returns and market leverage. We combine market values of bonds and loans from several data sets to comprehensively measure firms' market leverage and asset volatility. We show that the disconnect between asset returns and leverage is primarily due to the mismeasurement of market debt values with book debt values, and that popular models in the finance literature more accurately predict returns when market values are directly observed. In Chapter 4, my coauthors and I show that asset price movements around FOMC announcements are predicted by preceding ECB announcements.
- 일반주제명
- Finance
- 키워드
- Asset pricing
- 키워드
- Corporate debt
- 키워드
- Sticky prices
- 키워드
- Firms
- 키워드
- Market values
- 기타저자
- Duke University Business Administration
- 기본자료저록
- Dissertations Abstracts International. 85-11A.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■020 ▼a9798382729442
■035 ▼a(MiAaPQ)AAI30996375
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aKane, Andrew.
■24510▼aEssays in Asset Pricing
■260 ▼a[Sl]▼bDuke University▼c2024
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2024
■300 ▼a263 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 85-11, Section: A.
■500 ▼aAdvisor: Clara, Nuno.
■5021 ▼aThesis (Ph.D.)--Duke University, 2024.
■520 ▼aI investigate determinants of equity and bond returns. In Chapter 2, I link product pricing behavior to firms' equity returns. Firms with less responsive product pricing earn higher average returns. I show this empirical fact is consistent with firms with less responsive pricing experiencing greater cashflow losses due to inflation, and investors demanding a risk premium to hold these firms' equity. In Chapter 3, my coauthors and I revisit several puzzling results in the literature that claim a disconnect between firms' asset returns and market leverage. We combine market values of bonds and loans from several data sets to comprehensively measure firms' market leverage and asset volatility. We show that the disconnect between asset returns and leverage is primarily due to the mismeasurement of market debt values with book debt values, and that popular models in the finance literature more accurately predict returns when market values are directly observed. In Chapter 4, my coauthors and I show that asset price movements around FOMC announcements are predicted by preceding ECB announcements.
■590 ▼aSchool code: 0066.
■650 4▼aFinance
■653 ▼aAsset pricing
■653 ▼aCorporate debt
■653 ▼aSticky prices
■653 ▼aFirms
■653 ▼aMarket values
■690 ▼a0508
■690 ▼a0310
■690 ▼a0338
■71020▼aDuke University▼bBusiness Administration.
■7730 ▼tDissertations Abstracts International▼g85-11A.
■790 ▼a0066
■791 ▼aPh.D.
■792 ▼a2024
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17160439▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
