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...

Università della Svizzera italiana

Essays on liquidity and asset pricing

Vovchak, Volodymyr ; Franzoni, Francesco (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2014 ; 2014ECO001.

The thesis is comprised of two parts. First part is devoted to liquidity of the stock market and its interaction with holding horizon. I start from investigating relative importance of liquidity level and liquidity risk. I find that liquidity level is more important for explaining stock returns. I notice that liquidity risk gains some explanatory power during recent decade, and it seems to...

Università della Svizzera italiana

An econometric analysis of time-varying risk premia in large cross-sectional equity datasets

Ossola, Elisa ; Gagliardini, Patrick (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2013 ; 2013ECO001.

In this thesis, we develop a new econometric methodology to estimate the time-varying risk premia implied by conditional linear asset pricing models. In contrast to the classical approach, we estimate risk premia from a large dataset of returns of individual stocks instead of portfolios. The aim is to avoid the potential bias and loss of information implied by sorting and grouping stocks into...

Università della Svizzera italiana

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...

Università della Svizzera italiana

Essays in asset pricing

Vedolin, Andrea Claudia ; Trojani, Fabio (Dir.)

Thèse de doctorat : Università della Svizzera italiana, 2010 ; 2010ECO008.

My dissertation aims at understanding the impact of uncertainty and disagreement on asset prices. It contains three main chapters. Chapter One gives a general introduction into the topic of partial information and heterogeneous beliefs. Chapter Two explains the link between credit spreads and the heterogeneous formation of expectations in an economy where agents with different perception of...

Università della Svizzera italiana

Equilibrium asset pricing with time-varying pessimism

Sbuelz, Alessandro ; Trojani, Fabio

We present a flexible analytical framework that incorporates the equilibrium impact of a (possibly state dependent) sentiment for pessimism in continuous time intertemporal asset pricing. State dependent pessimism comes from a state dependent confidence in the reference belief on equity returns dynamics and implies conservative optimal policies precisely in states where such confidence is low. In...