Abstract
The thesis consists of three chapters. The first chapter provides a mispricing explanation for the risk-return relationship on days with and without macroeconomic news announcements. It demonstrates the importance of investor belief dispersion and short-selling constraints in shaping the security market line on those two types of days. The second chapter utilizes a large international sample and studies the firm and country characteristics that determine stock return exposures to periods of market stress. The third chapter use tick-by-tick data of benchmark stock index and government bond futures and identify and characterize occurrences of flights-to-safety at high frequency across 10 countries over the last 20 years.
| Original language | English |
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| Qualification | Doctor of Philosophy |
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| Award date | 20 Jan 2020 |
| Place of Publication | Tilburg |
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| Print ISBNs | 978 90 5668 619 2 |
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| Publication status | Published - 2020 |