Essays in asset pricing and auctions

Andreea Victoria Popescu

doi:10.26116/center-lis-1944

Essays in asset pricing and auctions

Andreea Victoria Popescu

Research output: Thesis › Doctoral Thesis

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Abstract

The three chapters of this thesis investigate key issues on the topic of asset valuation using experimental and machine learning methods. The first chapter studies predictability in the cross-section of international equity indices using the latest methodological developments in the area of machine learning. In the second chapter, the attention is moved to theoretical asset pricing, where a rational channel for asset co-movement is considered using a laboratory experiment. Lastly, the final chapter examines asset valuation in the context of auctions.

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Tilburg University
Supervisors/Advisors	Noussair, C.N., Promotor Breaban, A.G., Co-promotor Cassella, Stefano, Co-promotor
Award date	24 Jun 2020
Place of Publication	Tilburg
Publisher	CentER, Center for Economic Research
Print ISBNs	978 90 5668 622 2
DOIs	https://doi.org/10.26116/center-lis-1944
Publication status	Published - 2020

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title = "Essays in asset pricing and auctions",

abstract = "The three chapters of this thesis investigate key issues on the topic of asset valuation using experimental and machine learning methods. The first chapter studies predictability in the cross-section of international equity indices using the latest methodological developments in the area of machine learning. In the second chapter, the attention is moved to theoretical asset pricing, where a rational channel for asset co-movement is considered using a laboratory experiment. Lastly, the final chapter examines asset valuation in the context of auctions. ",

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AB - The three chapters of this thesis investigate key issues on the topic of asset valuation using experimental and machine learning methods. The first chapter studies predictability in the cross-section of international equity indices using the latest methodological developments in the area of machine learning. In the second chapter, the attention is moved to theoretical asset pricing, where a rational channel for asset co-movement is considered using a laboratory experiment. Lastly, the final chapter examines asset valuation in the context of auctions.

U2 - 10.26116/center-lis-1944

DO - 10.26116/center-lis-1944

M3 - Doctoral Thesis

SN - 978 90 5668 622 2

VL - 621

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Essays in asset pricing and auctions

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