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Essays on Asset Pricing and Financial Intermediation
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| 자료유형 | 학위논문 |
|---|---|
| 서명/저자사항 | Essays on Asset Pricing and Financial Intermediation. |
| 개인저자 | Laarits, Toomas. |
| 단체저자명 | Yale University. Management. |
| 발행사항 | [S.l.]: Yale University., 2019. |
| 발행사항 | Ann Arbor: ProQuest Dissertations & Theses, 2019. |
| 형태사항 | 195 p. |
| 기본자료 저록 | Dissertations Abstracts International 81-03A. Dissertation Abstract International |
| ISBN | 9781085776851 |
| 학위논문주기 | Thesis (Ph.D.)--Yale University, 2019. |
| 일반주기 |
Source: Dissertations Abstracts International, Volume: 81-03, Section: A.
Advisor: Gorton, Gary B. |
| 이용제한사항 | This item must not be sold to any third party vendors.This item must not be added to any third party search indexes. |
| 요약 | This dissertation consists of three essays on the topics of asset pricing, transmission of monetary policy, and financial crises.In the first essay I show that the pre-FOMC announcement drift - the tendency of the market to appreciate in the run-up to scheduled FOMC announcements - arises in a model with time-varying exposure of the aggregate market to monetary policy news. With time-varying risk loadings, there are two sources of uncertainty regarding a Fed announcement: 1) the news contained in the policy statement, and 2) market exposure to a given announcement. Resolution of uncertainty regarding market exposure at announcement time leads to an upward drift prior to the news release. In the model, discrete timing of announcements induces a seasonality in expected returns even though fundamentals change at a constant rate. I provide time-series and cross-sectional evidence consistent with the mechanism.The second essay is motivated by another puzzling fact in recent asset price data: the high-frequency variation in the Treasury bond exposure to stock market returns. In this essay I show that the precautionary savings motive can account for high-frequency variation in the stock-bond covariance. An increase in the price of risk lowers risky asset prices on account of an increase in risk premia |
| 일반주제명 | Finance. |
| 언어 | 영어 |
| 바로가기 | 
: 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
