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Dissertations / Theses on the topic 'Risk pricing'

Author: Grafiati

Published: 10 September 2021

Last updated: 29 July 2025

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1

Feeney, Paul William. "Euronotes : risk and pricing." Thesis, Bangor University, 1989. https://research.bangor.ac.uk/portal/en/theses/euronotes--risk-and-pricing(ecb4cfb8-601c-47b5-b897-cfefd66cfb37).html.

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2

Lee, Kuan-Hui. "Liquidity risk and asset pricing." Columbus, Ohio : Ohio State University, 2006. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1155146069.

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3

Kolman, Marek. "Pricing and modeling credit risk." Doctoral thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-264720.

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The thesis covers a wide range of topics from the credit risk modeling with the emphasis put on pricing of the claims subject to the default risk. Starting with a separate general contingent claim pricing framework the key topics are classified into three fundamental parts: firm-value models, reduced-form models, portfolio problems, with a possible finer sub-classification. Every part provides a theoretical discussion, proposal of self-developed methodologies and related applications that are designed so as to be close to the real-world problems. The text also reveals several new findings from

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4

Ruan, Zheng. "CDS pricing with counterparty risk." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6083.

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This thesis focuses on the impact of counterparty-risk in CDS (Credit Default Swap) pricing. The exponential growth of the Credit Derivatives Market in the last decade demands an upsurge in the fair valuation of various credit derivatives such as the Credit Default Swap (CDS), the Collateralized Debt Obligation (CDO). Financial institutions suffered great losses from Credit Derivatives in the sub-prime mortgage market during the credit crunch period. Counterparty risk in CDS contracts has been intensively studied with a focus on losses for protection buyers due to joint defaults of counterpart

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5

Dewhirst, Susan. "Pricing of risk on eurocredits /." Genève : l'auteur, 1986. http://catalogue.bnf.fr/ark:/12148/cb349457233.

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6

Lucchetta, Alberto <1995&gt. "Pricing EU Sovereign Debt Risk." Master's Degree Thesis, Università Ca' Foscari Venezia, 2019. http://hdl.handle.net/10579/15939.

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The aim of the analysis is to investigate if bond risk is priced. The idea to examine this topic rises by the interest to analyze in depth the movements of the bond financial market. The general framework reveals an increase of the use of fixed income securities and, consequently, an increase of the use of bonds among investors during last years. Credit institutions started to issue a large multiplicity of financial instruments; an example are perpetual bonds that were not frequently used in the past. Moreover, the increase of government bonds issued was drastic: during the period of the cris

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7

Ahmed, Hasib. "Pricing of Idiosyncratic Risk in an Intermediary Asset Pricing Model." ScholarWorks@UNO, 2019. https://scholarworks.uno.edu/td/2659.

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Standard asset pricing theories suggest that only systematic risk is priced. Empirical studies report a relationship between idiosyncratic volatility or risk (IVOL) and asset price. The most common explanation for this anomaly is that households under-diversify creating a Bad Model problem. This paper uses an Intermediary Asset Pricing Model (IAPM) as a way to control for under-diversification in evaluating the relationship between IVOL and asset price. We find that IVOL premia is lower in an IAPM. Our findings indicate that under-diversification can explain the anomaly partially.

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8

Watson, Ed. "Pricing credit derivatives and credit risk." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2000. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp01/MQ54085.pdf.

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9

Vliet, Willem Nicolaas van. "Downside Risk And Empirical Asset Pricing." [Rotterdam]: Erasmus Research Institute of Management (ERIM), Erasmus University Rotterdam ; Rotterdam : Erasmus University Rotterdam [Host], 2004. http://hdl.handle.net/1765/1819.

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10

Ghunmi, Diana Nawwash Abed El-Hafeth Abu. "Stock return, risk and asset pricing." Thesis, Durham University, 2008. http://etheses.dur.ac.uk/2908/.

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This thesis attempts to address a number of issues that have been identified in the asset pricing literature as essential for shaping stock returns. These issues include the need to uncover the link between the macroeconomic variables and stock returns. In addition to this, is the need to decide, in light of the findings of the literature, whether to advise investors to include idiosyncratic risk and downside risk as risk factors in their asset pricing models. The results presented here suggest, consistent with other previous studies, that stock returns are a function of a number of previously

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11

Kasem, Sefian. "Pricing and risk-managing synthetic CDOs." Thesis, Imperial College London, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.528311.

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12

Tran, Ngoc-Khanh. "Essays on Risk Sharing and Pricing." Thesis, Massachusetts Institute of Technology, 2012. http://hdl.handle.net/1721.1/77477.

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Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 2012.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references.<br>This thesis consists of three chapters in asset pricing. Chapter 1 considers an international asset pricing setting with traded and non-traded out puts. It shows that output fluctuations in nontraded industries are a central risk factor driving asset prices in all countries. This is because nontraded industries entail a growth risk that is mostly non-diversifiable, and constitute the largest component of gross domestic pro

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13

LECCADITO, Arturo. "Fractional models to credit risk pricing." Doctoral thesis, Università degli studi di Bergamo, 2008. http://hdl.handle.net/10446/31.

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14

Zambon, Nancy. "Jumps diffusion and jump risk pricing." Doctoral thesis, Università degli studi di Padova, 2017. http://hdl.handle.net/11577/3423229.

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Every day market operators exchange tens of thousand of stocks, creating an extremely rich information set to study price dynamics. Indeed, the pattern followed by asset returns have been a fundamental topic in finance literature for decades. Several studies provide evidence, Ball and Torous (1983), Jarrow and Rosenfeld (1984), and Jorion (1988) among others, that stock prices show sudden but infrequent movements of large magnitude, that are commonly known as jumps. Thus, it is a standard to design the dynamic of stock prices as a combination of a continuous diffusion component, plus discontin

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15

El, Ghandour Laila. "Liquidity risk and no arbitrage." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79975.

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Thesis (MSc)--Stellenbosch University, 2013.<br>ENGLISH ABSTRACT: In modern theory of finance, the so-called First and Second Fundamental Theorems of Asset Pricing play an important role in pricing options with no-arbitrage. These theorems gives a necessary and sufficient conditions for a market to have no-arbitrage and for a market to be complete. An early version of the First Fundamental Theorem of Asset Pricing was proven by Harrison and Kreps [30] in the case of a finite probability space. A more general version was proven by Harrison and Pliska [31] in the case of a finite probabilit

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16

Nguyen, Huyen T., University of Western Sydney, College of Law and Business, and School of Accounting. "Project finance risk pricing decision : Australian evidence." THESIS_CLAB_ACC_Nguyen_H.xml, 2002. http://handle.uws.edu.au:8081/1959.7/352.

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This thesis presents empirical research into the project risk pricing decision undertaken by Australian project leaders for domestic project finance. It addresses questions about the relative importance of various project finance risks on the project risk pricing decision; the impact of risk interactions; and the degree of self-insight possessed by Australian project leaders when making this decision. Five project financing risk most frequently cited in the literature, namely: operating, environmental, market, political/regulation, and sponsors, were selected. Sixteen hypothetical risk pricing

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17

Kazi, Mazharul Haque. "Systematic risk factors in Australian security pricing /." View thesis, 2004. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20050913.105500/index.html.

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Thesis (Ph.D.) -- University of Western Sydney, 2004.<br>"A thesis submitted in fulfilment of requirements for the degree of Doctor of Philosophy in Economics and Finance" Bibliography : leaves 211-226.

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18

Weigel, Peter. "Term structure modelling : pricing and risk management." Thesis, University of Warwick, 2003. http://wrap.warwick.ac.uk/63584/.

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This thesis is about interest rate modelling with applications in pricing and risk management of interest rate derivatives and portfolios. The first part of the thesis is developed within the random field framework suggested by Kennedy (1994). The framework is rich enough to be used for both pricing and risk management, but we believe its real value lies in the latter. Our main objective is to construct infinite-factor Gaussian field models that can fit the sample covariance matrices observed in the market. This task has not previously been addressed by the work on field methodology. We develo

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19

Crosby, Albert John. "Pricing and risk sharing in incomplete markets." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/61659.

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We consider three topics. The topics are: Exact pricing of discretely-sampled variance derivatives (Chapter 2), No Good Deals - No Bad Models (Chapter 4) and Risk sharing in international economies and market incompleteness (Chapter 5). The unifying themes are: Incomplete markets, asset pricing and ambiguity aversion (or model uncertainty).

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20

Lazos, Aristogenis. "Risk-neutral pricing in a behavioural framework." Thesis, University of Essex, 2017. http://repository.essex.ac.uk/20860/.

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This thesis investigates three issues related to risk-neutral pricing. The first aspect investigated is the effect of discretization and truncation errors on risk-neutral moments, as defined in Bakshi, Kapadia and Madan (2003). It proposes exact solutions for the finite integrals in the volatility, cubic and quartic contracts and compares its accuracy approach with the interpolation-extrapolation approach. It yields more accurate estimates for risk-neutral skewness and kurtosis for those assets which exhibit the volatility smirk. By contrast, for those assets dominated by the forward skew, the

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21

Nguyen, Huyen T. "Project finance risk pricing decision : Australian evidence." Thesis, View thesis, 2002. http://handle.uws.edu.au:8081/1959.7/352.

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This thesis presents empirical research into the project risk pricing decision undertaken by Australian project leaders for domestic project finance. It addresses questions about the relative importance of various project finance risks on the project risk pricing decision; the impact of risk interactions; and the degree of self-insight possessed by Australian project leaders when making this decision. Five project financing risk most frequently cited in the literature, namely: operating, environmental, market, political/regulation, and sponsors, were selected. Sixteen hypothetical risk pricing

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22

Nguyen, Huyen T. "Project finance risk pricing decision : Australian evidence /." View thesis, 2002. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20030728.091703/index.html.

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Thesis (M.Comm. (Hons.)) -- University of Western Sydney, 2002.<br>"An empirical study of the project finance risk pricing decision made by Australian project leaders in terms of project finance risk weighting and degree of self-insight" Bibliography : leaves 98-105.

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23

Bauer, Julian. "Bankruptcy Risk Prediction and Pricing: Unravelling the Negative Distress Risk Premium." Thesis, Cranfield University, 2012. http://dspace.lib.cranfield.ac.uk/handle/1826/7313.

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In sharp contrast to the basic risk-return assumption of theoretical finance, the empirical evidence shows that distressed firms underperform non-distressed firms (e.g. Dichev, 1998; Agarwal and Taffler, 2008b). Existing literature argues that a shareholder advantage effect (Garlappi and Yan, 2011), limits of arbitrage (Shleifer and Vishny, 1997) or gambling retail investor (Kumar, 2009) could drive the underperformance. Herein, I test these potential explanations and explore the drivers of distress risk. In order to do so, I require a clean measure of distress risk. Measures of distress risk

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24

Ngwenza, Dumisani. "Quantifying Model Risk in Option Pricing and Value-at-Risk Models." Master's thesis, Faculty of Commerce, 2019. http://hdl.handle.net/11427/31059.

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Financial practitioners use models in order to price, hedge and measure risk. These models are reliant on assumptions and are prone to ”model risk”. Increased innovation in complex financial products has lead to increased risk exposure and has spurred research into understanding model risk and its underlying factors. This dissertation quantifies model risk inherent in Value-at-Risk (VaR) on a variety of portfolios comprised of European options written on the ALSI futures index across various maturities. The European options under consideration will be modelled using the Black-Scholes, Heston a

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25

Chen, Bei. "Essays of Asset Pricing." Thesis, The University of Sydney, 2021. https://hdl.handle.net/2123/25665.

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This dissertation explores issues related to asset pricing anomalies by focusing on options market. It consists of 3 chapters. In Chapter 1, we find that firms’ left-tail risk is a strong positive predictor of future bear spread returns, suggesting that the options market underreacts to firms’ left-tail risk and the downside protection provided by bear spreads is not adequately priced. We provide a behavioral explanation for this phenomenon. We find that the underreaction to firms’ left-tail risk is stronger when the underlying stocks experience larger recent losses, are closer to their 52-

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26

Den, Braber Ronald Franciscus Johannes. "Credit risk pricing models as applied to credit trading and risk management." Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/7980.

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27

Sewnath, Neville. "Pricing of credit risk and credit risk derivatives : from theory to implementation." Master's thesis, University of Cape Town, 2008. http://hdl.handle.net/11427/5614.

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28

Canafoglia, Fabio. "An Introduction to Credit Risk and Asset Pricing." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2016. http://amslaurea.unibo.it/12321/.

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Into the Thesis, the author will try to give the basis of risk management and asset pricing. Both of them are fundamental elements to understand how the financial models work; this topic is judged important in the perspective of successive studies in financial math: having clear the starting point makes things easier. From the title it is clear that modern and more complex models will be only touched upon. We decide to divide the dissertation in two different parts because, in our opinion, it is more evident that two different ways to approach at credit risk exist: on one side we try to quant

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29

Wilhelm, Martina. "Modeling, pricing and risk management of power derivatives /." Zürich : ETH, 2007. http://e-collection.ethbib.ethz.ch/show?type=diss&nr=17062.

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30

Harr, Martin. "Option Pricing in the Presence of Liquidity Risk." Thesis, Umeå University, Department of Physics, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-35100.

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<p>The main objective of this paper is to prove that liquidity costs do exist in option pricingtheory. To achieve this goal, a martingale approach to option pricing theory is usedand, from a model by Jarrow and Protter [JP], a sound theoretical model is derived toshow that liquidity risk exists. This model, derived and tested in this extended theory,allows for liquidity costs to arise. The expression liquidity cost is used in this paper tomeasure liquidity risk relative to the option price.</p>

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31

Xia, Zhendong. "Pricing and Risk Management in Competitive Electricity Markets." Diss., Georgia Institute of Technology, 2005. http://hdl.handle.net/1853/7528.

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Electricity prices in competitive markets are extremely volatile with salient features such as mean-reversion and jumps and spikes. Modeling electricity spot prices is essential for asset and project valuation as well as risk management. I introduce the mean-reversion feature into a classical variance gamma model to model the electricity price dynamics as a mean-reverting variance gamma (MRVG) process. Derivative pricing formulae are derived through transform analysis and model parameters are estimated by the generalized method of moments and the Markov Chain Monte Carlo method. A real option

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32

Lam, Kevin Chee-keung. "Risk adjusted audit pricing, theory and empirical evidence." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp02/NQ33908.pdf.

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33

Aslan, Aylin. "Pricing Of Sovereign Credit Risk: Application To Turkey." Master's thesis, METU, 2013. http://etd.lib.metu.edu.tr/upload/12615677/index.pdf.

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This thesis investigates the pricing of sovereign credit risk in the bond and credit default swap (CDS) market for Turkey. Using daily data, CDS premiums and Emerging Market Bond Index (EMBI) are examined over the period 1, January 2001- 20, June 2012. Firstly, the short-run and long-run determinants of CDS premiums are compared with those of EMBI, employing the Autoregressive Distributed Lag (ARDL) bounds testing approach. Then, the basis, the difference between CDS and EMBI spreads is analyzed seeking the factors which drive the two markets apart. Empirical results reveal that the CDS and bo

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34

Boguth, Oliver. "Essays on volatility risk premia in asset pricing." Thesis, University of British Columbia, 2010. http://hdl.handle.net/2429/27487.

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This thesis contains two essays. In the first essay, we investigate the impact of time varying volatility of consumption growth on the cross-section and time-series of equity returns. While many papers test consumption-based pricing models using the first moment of consumption growth, less is known about how the time-variation of consumption growth volatility affects asset prices. In a model with recursive preferences and unobservable conditional mean and volatility of consumption growth, the representative agent's estimates of conditional moments of consumption growth affect excess returns. E

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35

Li, Yao Dong. "Credit risk pricing with quadratic term structure model." Thesis, University of York, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.556250.

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This thesis is an empirical credit risk study, developing a multi-factor quadratic term structure model in discrete time and investigating credit risk. There are three main contributions. First, I examine the corporate credit default swap premia. I estimate parameters using an extended Kalman filter. The results show that the discrete quadratic term structure model is able to avoid some of the drawbacks associated with continuous models and affine term structure models. In addition, it was found that two state variables are enough to explain most of the variation in corporate credit spread. Se

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36

Gu, Jiawen, and 古嘉雯. "On credit risk modeling and credit derivatives pricing." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/202367.

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In this thesis, efforts are devoted to the stochastic modeling, measurement and evaluation of credit risks, the development of mathematical and statistical tools to estimate and predict these risks, and methods for solving the significant computational problems arising in this context. The reduced-form intensity based credit risk models are studied. A new type of reduced-form intensity-based model is introduced, which can incorporate the impacts of both observable trigger events and economic environment on corporate defaults. The key idea of the model is to augment a Cox process with trigge

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37

Soufian, Nasreen. "Pricing of risk in the UK stock market." Thesis, Manchester Metropolitan University, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.270872.

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38

Lu, Wenna. "The pricing of risk in the carry trade." Thesis, Cardiff University, 2014. http://orca.cf.ac.uk/61773/.

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This thesis examines the relationship between foreign exchange (FX) volatility and excess returns from the currency market. We argue that FX volatility plays an important role in explaining the excess returns from the currency market so as in partially explaining the long stranding unsolved puzzles in FX market: the uncovered interest rate parity (UIP) puzzle and the purchasing power parity (PPP) puzzle. There are two empirical parts in this thesis. In the first part, we take the FX volatility risk as risk factors to price the cross sectional excess returns from the carry trade in three differ

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39

Koutmos, Dimitrios. "Asset pricing and the intertemporal risk-return tradeoff." Thesis, Durham University, 2012. http://etheses.dur.ac.uk/3529/.

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The intertemporal risk-return tradeoff is the cornerstone of modern empirical finance and has been the focus of much debate over the years. The reason for this is because extant literature cannot agree as to the very nature of this important relation. This is troublesome in terms of academic theory given that it challenges the notion that investors are risk-averse agents and is furthermore troublesome in practice given that market participants expect to be rewarded with higher expected returns in order to take on higher risks. The motivation for this thesis stems from the conflicting and incon

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40

Hron, Jiří. "Risk Analysis and Pricing of Retail Energy Contracts." Doctoral thesis, Vysoká škola ekonomická v Praze, 2007. http://www.nusl.cz/ntk/nusl-191806.

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The presented dissertation is focused on the applications of statistical methods and ap-proaches applied in the energy business. The need for the modeling of energy risks arose only recently when the energy business was opened to competition. Therefore, the prima-ry aim of the dissertation is to clarify the main principles of the energy business which are necessary for understanding both risk principles and motivation of the proposed models. I am largely focused on retail risks, i.e., the risks associated with delivery to end-consumers. In particular, I deal with energy contracts providing vol

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41

Zhang, Hui. "Asset pricing anomalies, risk factors and their application." Thesis, The University of Sydney, 2018. http://hdl.handle.net/2123/19783.

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This thesis is built around the development and use of asset pricing factors and addresses pricing anomalies. It investigates the idiosyncratic volatility (IV) anomaly in China and applies the resale option theory first documented by Scheinkman and Xiong (2003). The research confirms that the IV anomaly in China and shown that the resale option theory can be quite helpful in deciphering the IV effect. Confirmation of the IV anomaly in China is a contribution to current literature; more importantly, the adoption of resale option theory to explain the IV effect in China is believed to be new.

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42

Elias, Leonardo Ariel. "Global factors and the pricing of sovereign risk." Thesis, Massachusetts Institute of Technology, 2019. https://hdl.handle.net/1721.1/124583.

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Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2019<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (pages 21-22).<br>I study the effects of US Macroeconomic surprises on the pricing of sovereign risk of sixty-six countries in the period 2002-2017 using daily CDS data. I also explore how a country spread's sensitivity to these shocks depends on a wide range of country characteristics. I discuss potential transmission mechanisms of sovereign distress to the real economy by studying the cross-sectional respo

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43

Jiang, Min. "Essays on bankruptcy, credit risk and asset pricing." Diss., University of Iowa, 2012. https://ir.uiowa.edu/etd/3320.

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In this dissertation, I consider a range of topics in bankruptcy, credit risk and asset pricing. The first chapter proposes a structural-equilibrium model to examine some economic implications arising from voluntary filing of Chapter 11. The results suggest that conflict of interests (between debtors and creditors) arising from the voluntary filing option causes countercyclical losses in firm value. The base calibration shows that these losses amount to approximately 5% of the ex-ante firm value and are twice those produced by a model without incorporating the business cycles. Furthermore, bes

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44

YE, Zuobin. "A risk-averse newsvendor model with pricing consideration." Digital Commons @ Lingnan University, 2004. https://commons.ln.edu.hk/otd/18.

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A decision maker who is facing a random demand for a perishable product, such as newspapers, decides how many units to order for a single selling period. This single-period inventory problem is often referred to as the \classic newsvendor problem", in which the selling price is ¯xed, the order must be made before the selling period, and the decision maker is risk-neutral. If the decision maker orders too many (overage), the inventory cost will be too high. If the decision maker orders too few (underage), the potential pro¯t will be lost. The optimal order quantity is a balance between the expe

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45

Ngouffo, Zangue Jaures Poppo <1988&gt. "Evaluating Catastrophe Risk and CAT Bonds Pricing Methods." Master's Degree Thesis, Università Ca' Foscari Venezia, 2016. http://hdl.handle.net/10579/8819.

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The main purpose of this work is to find a proper way to evaluate the catastrophe risk and to price CAT bonds. In other do so , we will do a presentation of catastrophe risk and instruments used to hedge this risk such as CAT bonds.Next we will do state of the differents pricing approaches and use available data to implement the calibrated model

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46

Viale, Ariel Marcelo. "Common risk factors in bank stocks." Texas A&M University, 2003. http://hdl.handle.net/1969.1/5806.

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This dissertation provides evidence on the risk factors that are priced in bank equities. Alternative empirical models with precedent in the nonfinancial asset pricing literature are tested, including the single-factor Capital Asset Pricing Model (CAPM), three-factor Fama-French model, and Intertemporal Capital Asset Pricing Model (ICAPM). The empirical results indicate that an unconditional two-factor Intertemporal Capital Asset Pricing Model (ICAPM) model, that includes the stock market excess return and shocks to the slope of the yield curve, is useful in explaining the cross-section of ban

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47

Ribeiro, Vera Carneiro. "Pricing of exchange traded funds." Master's thesis, NSBE - UNL, 2014. http://hdl.handle.net/10362/11721.

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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics<br>ETFs are a relatively new investment product that allows investors to achieve the diversification of a mutual fund with the trading flexibility of a stock. This and other advantages have been drastically attracting investors over the last years; however, the price of this product is a topic that remains little explored. In this paper I introduce a panel data analysis of premiums/discounts of ETFs with similar characteristics. I find that some of

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48

Xie, Yan Alice Wu Chunchi. "Immunization of interest rate risk and pricing of default risk of bond portfolios." Related Electronic Resource: Current Research at SU : database of SU dissertations, recent titles available full text, 2003. http://wwwlib.umi.com/cr/syr/main.

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49

Ruprecht, Benedikt [Verfasser], and Marco [Akademischer Betreuer] Wilkens. "Banks' Interest Rate Risk: Pricing and Risk Management / Benedikt Ruprecht. Betreuer: Marco Wilkens." Augsburg : Universität Augsburg, 2013. http://d-nb.info/1077703104/34.

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50

Cederburg, Scott Hogeland. "Essays in cross-sectional asset pricing." Diss., University of Iowa, 2011. https://ir.uiowa.edu/etd/934.

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Abstract:

In this dissertation, I study the performance of asset-pricing models in explaining the cross section of expected stock returns. The finance literature has uncovered several potential failings of the Capital Asset Pricing Model (CAPM). I investigate the ability of additional risk factors, which are not considered by the CAPM, to explain these problems. In particular, I examine intertemporal risk and long-run risk in the cross section of returns. In addition, I develop a firm-level test to refine and reassess the cross-sectional evidence against the CAPM. In the first chapter, I test the cross-

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