Essays in Empirical Asset Pricing and International Finance

Research output: ThesisDoctoral Thesis

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 languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Baele, Lieven, Promotor
  • de Jong, Frank, Promotor
Award date20 Jan 2020
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 619 2
Publication statusPublished - 2020

Fingerprint

International finance
Ticks
Empirical asset pricing
Safety
Benchmark
Short selling
Securities market
Investors
Government bonds
Risk-return
Stock returns
Mispricing
Macroeconomic news announcements
Stock index

Cite this

Niu, Z. (2020). Essays in Empirical Asset Pricing and International Finance. Tilburg: CentER, Center for Economic Research.
Niu, Zilong. / Essays in Empirical Asset Pricing and International Finance. Tilburg : CentER, Center for Economic Research, 2020. 177 p.
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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.",
author = "Zilong Niu",
note = "CentER Dissertation Series Volume: 560",
year = "2020",
language = "English",
isbn = "978 90 5668 619 2",
volume = "618",
series = "CentER Dissertation Series",
publisher = "CentER, Center for Economic Research",
school = "Tilburg University",

}

Niu, Z 2020, 'Essays in Empirical Asset Pricing and International Finance', Doctor of Philosophy, Tilburg University, Tilburg.

Essays in Empirical Asset Pricing and International Finance. / Niu, Zilong.

Tilburg : CentER, Center for Economic Research, 2020. 177 p.

Research output: ThesisDoctoral Thesis

TY - THES

T1 - Essays in Empirical Asset Pricing and International Finance

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N1 - CentER Dissertation Series Volume: 560

PY - 2020

Y1 - 2020

N2 - 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.

AB - 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.

M3 - Doctoral Thesis

SN - 978 90 5668 619 2

VL - 618

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Niu Z. Essays in Empirical Asset Pricing and International Finance. Tilburg: CentER, Center for Economic Research, 2020. 177 p. (CentER Dissertation Series).