Essays in empirical asset pricing and international finance

Zilong Niu

doi:10.26116/center-lis-1941

Essays in empirical asset pricing and international finance

Zilong Niu

Research output: Thesis › Doctoral Thesis

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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.

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Tilburg University
Supervisors/Advisors	Baele, Lieven, Promotor de Jong, Frank, Promotor
Award date	20 Jan 2020
Place of Publication	Tilburg
Publisher	CentER, Center for Economic Research
Print ISBNs	978 90 5668 619 2
DOIs	https://doi.org/10.26116/center-lis-1941
Publication status	Published - 2020

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Dissertation Zilong NiuFinal published version, 1.45 MB

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title = "Essays in empirical asset pricing and international finance",

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. ",

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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.

U2 - 10.26116/center-lis-1941

DO - 10.26116/center-lis-1941

M3 - Doctoral Thesis

SN - 978 90 5668 619 2

VL - 618

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Essays in empirical asset pricing and international finance

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