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Essays in Asset Pricing
Essays in Asset Pricing
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20260209102901
- ISBN
- 9798265483560
- DDC
- 658
- 서명/저자
- Essays in Asset Pricing
- 발행사항
- [Sl] : Northwestern University, 2025
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2025
- 형태사항
- 114 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 87-06, Section: A.
- 주기사항
- Advisor: Papanikolaou, Dimitris.
- 학위논문주기
- Thesis (Ph.D.)--Northwestern University, 2025.
- 초록/해제
- 요약In chapter 1, we investigate the cross-sectional spillovers of earnings surprises and their implications for anomaly returns. By forming quarterly text embeddings derived from earnings call transcripts, we capture multifaceted relationships among public firms and effectively reflect shifts in their business focus. Employing these embeddings to project earnings surprises, we identify significant contemporaneous spillovers and a medium-term drift that persists for up to 20 days. One standard deviation increase in the projected earnings surprises induces a 3 basis points increase in the same-day return and about 2 basis points in the next day. Utilizing the predicted earnings surprise, we construct an aggregate factor capable of pricing a broad spectrum of market anomalies and demonstrating substantial forward-looking predictive power for prominent factors, including value and size.Chapter 2 introduces an innovative asset-pricing model designed to analyze the co-movement between stock and bitcoin returns within a dual-agent equilibrium framework. By weaving habit formation and fluctuating risk aversion into the fabric of this model, we enable an exploration of dynamic risk-sharing strategies between equity and cryptocurrency markets. Such an approach underscores the model's capacity to elucidate the empirical phenomena characterizing cryptocurrency markets, with a particular focus on the time-varying correlation with stock returns. Additionally, our model innovatively connects both the spot and futures prices of cryptocurrencies to these dynamic risk-sharing mechanisms, guided by crucial state variables that influence consumption patterns. Furthermore, the model delves into the covariance of returns and their association with both external and internal habit formation preferences, thereby offering new insights into the complexities of interactions within and between traditional and digital asset markets.
- 일반주제명
- Finance
- 키워드
- Text embedding
- 키워드
- Asset pricing
- 기타저자
- Northwestern University Finance
- 기본자료저록
- Dissertations Abstracts International. 87-06A.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
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■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a658
■1001 ▼aHe, Zhenzhi Mark.
■24510▼aEssays in Asset Pricing
■260 ▼a[Sl]▼bNorthwestern University▼c2025
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2025
■300 ▼a114 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 87-06, Section: A.
■500 ▼aAdvisor: Papanikolaou, Dimitris.
■5021 ▼aThesis (Ph.D.)--Northwestern University, 2025.
■520 ▼aIn chapter 1, we investigate the cross-sectional spillovers of earnings surprises and their implications for anomaly returns. By forming quarterly text embeddings derived from earnings call transcripts, we capture multifaceted relationships among public firms and effectively reflect shifts in their business focus. Employing these embeddings to project earnings surprises, we identify significant contemporaneous spillovers and a medium-term drift that persists for up to 20 days. One standard deviation increase in the projected earnings surprises induces a 3 basis points increase in the same-day return and about 2 basis points in the next day. Utilizing the predicted earnings surprise, we construct an aggregate factor capable of pricing a broad spectrum of market anomalies and demonstrating substantial forward-looking predictive power for prominent factors, including value and size.Chapter 2 introduces an innovative asset-pricing model designed to analyze the co-movement between stock and bitcoin returns within a dual-agent equilibrium framework. By weaving habit formation and fluctuating risk aversion into the fabric of this model, we enable an exploration of dynamic risk-sharing strategies between equity and cryptocurrency markets. Such an approach underscores the model's capacity to elucidate the empirical phenomena characterizing cryptocurrency markets, with a particular focus on the time-varying correlation with stock returns. Additionally, our model innovatively connects both the spot and futures prices of cryptocurrencies to these dynamic risk-sharing mechanisms, guided by crucial state variables that influence consumption patterns. Furthermore, the model delves into the covariance of returns and their association with both external and internal habit formation preferences, thereby offering new insights into the complexities of interactions within and between traditional and digital asset markets.
■590 ▼aSchool code: 0163.
■650 4▼aFinance
■653 ▼aCross-sectional anomaly
■653 ▼aEarnings conference call
■653 ▼aText embedding
■653 ▼aAsset pricing
■690 ▼a0508
■690 ▼a0511
■690 ▼a0338
■690 ▼a0501
■71020▼aNorthwestern University▼bFinance.
■7730 ▼tDissertations Abstracts International▼g87-06A.
■790 ▼a0163
■791 ▼aPh.D.
■792 ▼a2025
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17365949▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
