Efficiency gains, bounds, and risk in finance

Cisil Sarisoy

Research output: ThesisDoctoral Thesis

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Abstract

This thesis consists of three chapters. The first chapter analyzes efficiency gains in the estimation of expected returns based on asset pricing models and examines the economic implications of such gains in portfolio allocation exercises. The second chapter provides nonparametric efficiency bounds in the estimation of integrated smooth transformations of volatility and related processes, and analyzes the efficiency of existing estimators. The third chapter investigates pricing implications of monetary policy risk in the cross—section of stocks.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Werker, Bas, Promotor
  • de Goeij, Peter, Co-promotor
Award date17 Dec 2015
Place of PublicationTilburg
Publisher
Publication statusPublished - 2015

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    Sarisoy, C. (2015). Efficiency gains, bounds, and risk in finance. CentER, Center for Economic Research.