| LDR | | 00000nam u2200205 4500 |
| 001 | | 000000432847 |
| 005 | | 20200224140422 |
| 008 | | 200131s2019 ||||||||||||||||| ||eng d |
| 020 | |
▼a 9781085776851 |
| 035 | |
▼a (MiAaPQ)AAI13809216 |
| 040 | |
▼a MiAaPQ
▼c MiAaPQ
▼d 247004 |
| 082 | 0 |
▼a 658 |
| 100 | 1 |
▼a Laarits, Toomas. |
| 245 | 10 |
▼a Essays on Asset Pricing and Financial Intermediation. |
| 260 | |
▼a [S.l.]:
▼b Yale University.,
▼c 2019. |
| 260 | 1 |
▼a Ann Arbor:
▼b ProQuest Dissertations & Theses,
▼c 2019. |
| 300 | |
▼a 195 p. |
| 500 | |
▼a Source: Dissertations Abstracts International, Volume: 81-03, Section: A. |
| 500 | |
▼a Advisor: Gorton, Gary B. |
| 502 | 1 |
▼a Thesis (Ph.D.)--Yale University, 2019. |
| 506 | |
▼a This item must not be sold to any third party vendors. |
| 506 | |
▼a This item must not be added to any third party search indexes. |
| 520 | |
▼a 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 |
| 590 | |
▼a School code: 0265. |
| 650 | 4 |
▼a Finance. |
| 690 | |
▼a 0508 |
| 710 | 20 |
▼a Yale University.
▼b Management. |
| 773 | 0 |
▼t Dissertations Abstracts International
▼g 81-03A. |
| 773 | |
▼t Dissertation Abstract International |
| 790 | |
▼a 0265 |
| 791 | |
▼a Ph.D. |
| 792 | |
▼a 2019 |
| 793 | |
▼a English |
| 856 | 40 |
▼u http://www.riss.kr/pdu/ddodLink.do?id=T15490576
▼n KERIS
▼z 이 자료의 원문은 한국교육학술정보원에서 제공합니다. |
| 980 | |
▼a 202002
▼f 2020 |
| 990 | |
▼a ***1008102 |
| 991 | |
▼a E-BOOK |