Facoltà di scienze economiche

Essays in asset pricing

Rasekhschaffe, Keywan Christian ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO006.

My dissertation consists of three main chapters; I focus on empirical aspects of asset pricing. I identify anomalies in equities, relate the book-to-market anomaly and the size anomaly to cash-flow risk, and document a strong cross-sectional predictor of FX volatility returns. In the first part of my dissertation I show that Gross Yield negatively predicts returns in the cross section of... Plus

Ajouter à la liste personnelle
    Summary
    My dissertation consists of three main chapters; I focus on empirical aspects of asset pricing. I identify anomalies in equities, relate the book-to-market anomaly and the size anomaly to cash-flow risk, and document a strong cross-sectional predictor of FX volatility returns. In the first part of my dissertation I show that Gross Yield negatively predicts returns in the cross section of equities. In the second part of my dissertation I explore the role of cash-flow risk in driving book-to-market and size related returns. Furthermore, I show that equity returns increase with higher cashflow beta. In the third part I show that the ratio of implied to historical volatility explains the cross-section of FX variance swap returns. This ratio also predicts underlying currency returns.