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EXCHANGE RATE REGIMES, FX LIQUIDITY RISK, AND CARRY TRADE RETURNS
Title
EXCHANGE RATE REGIMES, FX LIQUIDITY RISK, AND CARRY TRADE RETURNS
Author
Abankwa, Samuel
Date Created
2016
Subjects--Topical
Finance, Industrial management, Economics
Description
The dissertation consists of three related topics: FX market-wide liquidity measure and individual currency-pair liquidity co-movements, FX liquidity risk and carry trade returns, and the forward premium puzzle in foreign exchange markets. This is...
Essays in investments and asset allocation
Title
Essays in investments and asset allocation
Author
Chen, Xianzhe
Date Created
2016
Subjects--Topical
Finance
Description
This dissertation consists of three topics in investments and asset allocation. The first chapter studies the dynamics of macro factors and their application in asset allocation. Five meaningful economic factors are extracted from hundreds of econ...
Exchange Rates, Carry Trade Returns and Political Risks
Title
Exchange Rates, Carry Trade Returns and Political Risks
Author
Kesse, Kwabena
Date Created
2016
Subjects--Topical
Finance, Industrial management
Description
This dissertation elucidates the channels through which sovereign risk, exchange rates and currency risk premia are related. I show that the channels are different depending on whether a country is classified as emerging or an advanced economy. Ge...
Introducing Non-Linearities and Interaction Terms in a Conditional Asset Pricing Model
Title
Introducing Non-Linearities and Interaction Terms in a Conditional Asset Pricing Model
Author
Rask, Kristoffer
Date Created
2016
Subjects--Topical
Finance, Economics
Description
Throughout history of the conditional asset pricing literature the goal has been to find the best possible model to explain what determines a firm’s expected stock return. In Dickson (2015) the variables that prove to be best at explaining a firm’...
NONPARAMETRIC PREDICTIVE REGRESSION
Title
NONPARAMETRIC PREDICTIVE REGRESSION
Author
Yu, Xintian
Date Created
2016
Subjects--Topical
Statistics, Finance, Economics
Description
In financial time series nonlinear effects and time-varying effects are observed. In this dissertation we propose a predictive regression model with time varying coefficients and functional coefficients. It allows for nonstationary predictors. We establi...
Screening for stock-characteristics and continuation of the dual momentum approach
Title
Screening for stock-characteristics and continuation of the dual momentum approach
Author
Ekström, Konstantin
Date Created
2016
Subjects--Topical
Finance
Description
The momentum strategy suggests buying stocks that have appreciated the most and selling those that have depreciated the most. The strategy is well documented and has shown persistence over the years. A problem most trading strategies face is that ...
THREE ESSAYS ON CAPITAL INSURANCE AND TOO BIG TO FAIL BANKS
Title
THREE ESSAYS ON CAPITAL INSURANCE AND TOO BIG TO FAIL BANKS
Author
Ivanov, Katerina
Date Created
2016
Subjects--Topical
Finance, Banks and banking
Description
This research study presents an insurance framework of the bank capital by introducinga new type of capital, namely, an insurance capital. A bank pays the insurancecapital to an entity which injects a pre-determined payout of capital during the pe...
Three Essays on Bond Returns and the Cost of Debt
Title
Three Essays on Bond Returns and the Cost of Debt
Author
Li, Sailu
Date Created
2016
Subjects--Topical
Finance, Accounting
Description
The three essays in this dissertation are focused on the same general research topic: returns to bondholders and the cost of debt. Each of the three essays should be treated as a stand-alone paper. The first essay is on the bond returns to debthol...