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Quantitative style investing, portfolio optimization, and factor models
Title
Quantitative style investing, portfolio optimization, and factor models
Author
Dickson Jr., Robert
Date Created
2015
Subjects--Topical
Finance
Description
This dissertation consists of three related chapters in the field of empirical asset pricing. Broadly speaking the chapters investigate issues related to active portfolio management, stock-picking, portfolio optimization, and asset pricing model p...
THE FORWARD PREMIUM PUZZLE REVISITED
Title
THE FORWARD PREMIUM PUZZLE REVISITED
Author
Zhuang, Anan
Date Created
2015
Subjects--Topical
Finance
Description
The forward premium puzzle in currency markets is the standard empirical finding that the expected changes in currency exchange rates and interest rate differential are negatively correlated, implying a violation of uncovered interest rate parity ...
The Price of Control: An empirical investigation of the control premium in M&A transactions, pre and post the financial crisis of 2007/2008.
Title
The Price of Control: An empirical investigation of the control premium in M&A transactions, pre and post the financial crisis of 2007/2008.
Author
Dietz, David
Date Created
2015
Subjects--Topical
Finance, Economics
Description
This paper investigates the control premium in change of control transactions. Ithas taken a large-scale approach to the subject while also adding a pre- and post-crisisperspective. A regression model is built based on financial theory and previou...