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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...

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Accounting based valuation and implied discount factor

Brughelli, Moreno ; Barone-Adesi, Giovanni (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2012 ; 2012ECO003.

The focus of this doctoral thesis is on the determination of the implied cost of capital in the equity market. Three issues are investigated in detail: the relations between the cost of equity capital, the credit spread and the economic growth; the links between realized market returns and the cost of capital; and the forecasting power of the implied discount factor in predicting market...

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