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Università della Svizzera italiana

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...