Efficiency gains, bounds, and risk in finance

Cisil Sarisoy

Research output: ThesisDoctoral ThesisScientific

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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

Fingerprint

Finance
Efficiency gains
Asset pricing models
Economics
Efficiency bounds
Portfolio allocation
Cross section
Exercise
Integrated
Estimator
Monetary policy
Pricing
Expected returns

Cite this

Sarisoy, C. (2015). Efficiency gains, bounds, and risk in finance. Tilburg: CentER, Center for Economic Research.
Sarisoy, Cisil. / Efficiency gains, bounds, and risk in finance. Tilburg : CentER, Center for Economic Research, 2015. 162 p.
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author = "Cisil Sarisoy",
year = "2015",
language = "English",
series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
school = "Tilburg University",

}

Sarisoy, C 2015, 'Efficiency gains, bounds, and risk in finance', Doctor of Philosophy, Tilburg University, Tilburg.

Efficiency gains, bounds, and risk in finance. / Sarisoy, Cisil.

Tilburg : CentER, Center for Economic Research, 2015. 162 p.

Research output: ThesisDoctoral ThesisScientific

TY - THES

T1 - Efficiency gains, bounds, and risk in finance

AU - Sarisoy, Cisil

PY - 2015

Y1 - 2015

N2 - 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.

AB - 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.

M3 - Doctoral Thesis

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Sarisoy C. Efficiency gains, bounds, and risk in finance. Tilburg: CentER, Center for Economic Research, 2015. 162 p. (CentER Dissertation Series).