Essays on international finance and empirical asset pricing

M. Maletic

Research output: ThesisDoctoral Thesis

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Abstract

The Ph.D. dissertation consists of three chapters. The first chapter is investigating the impact of the Chinese economy on the term structure of interest rates in Germany and the United States through the lenses of the traditional asset pricing models. In the post financial crisis environment with low growth and inflation, and the monetary policy, which is constrained by the effective lower bound, investors are willing to accept lower compensation for holding nominal long-term bonds instead of short-term securities when the outlook about the Chinese economy deteriorates. The second chapter is investigating how the accumulation of the Chinese foreign reserves is affecting the US yield curve thorough the lenses of the modern portfolio-balance models. It is found that when the Chinese official sector rebalances away from the US Dollar, it lowers, in a way similar to the deteriorating outlook about the Chinese economy, the term premium of long-term bonds. The third chapter is investigating how R&D investments and past returns interact in explaining future returns. Firms, which are reluctant to cut the level of R&D expenditures despite the poor past performance, are rewarded with higher subsequent returns. On the other hand, only firms that have demonstrated their ability to make good investment decisions, and therefore exerted positive price performance over the last year, are rewarded with higher future returns when they increase the R&D.
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Melenberg, Bertrand, Promotor
  • Baele, Lieven, Co-promotor
Award date15 Jan 2020
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 618 5
Publication statusPublished - 2020

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International finance
Chinese economy
Empirical asset pricing
Term structure of interest rates
Investment decision
Investors
Financial crisis
Germany
Asset pricing models
Yield curve
Term premium
Inflation
Expenditure
Monetary policy
Lower bounds
Foreign reserves

Cite this

Maletic, M. (2020). Essays on international finance and empirical asset pricing. Tilburg: CentER, Center for Economic Research.
Maletic, M.. / Essays on international finance and empirical asset pricing. Tilburg : CentER, Center for Economic Research, 2020. 116 p.
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abstract = "The Ph.D. dissertation consists of three chapters. The first chapter is investigating the impact of the Chinese economy on the term structure of interest rates in Germany and the United States through the lenses of the traditional asset pricing models. In the post financial crisis environment with low growth and inflation, and the monetary policy, which is constrained by the effective lower bound, investors are willing to accept lower compensation for holding nominal long-term bonds instead of short-term securities when the outlook about the Chinese economy deteriorates. The second chapter is investigating how the accumulation of the Chinese foreign reserves is affecting the US yield curve thorough the lenses of the modern portfolio-balance models. It is found that when the Chinese official sector rebalances away from the US Dollar, it lowers, in a way similar to the deteriorating outlook about the Chinese economy, the term premium of long-term bonds. The third chapter is investigating how R&D investments and past returns interact in explaining future returns. Firms, which are reluctant to cut the level of R&D expenditures despite the poor past performance, are rewarded with higher subsequent returns. On the other hand, only firms that have demonstrated their ability to make good investment decisions, and therefore exerted positive price performance over the last year, are rewarded with higher future returns when they increase the R&D.",
author = "M. Maletic",
note = "CentER Dissertation Series Volume: 617",
year = "2020",
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volume = "617",
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publisher = "CentER, Center for Economic Research",
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Maletic, M 2020, 'Essays on international finance and empirical asset pricing', Doctor of Philosophy, Tilburg University, Tilburg.

Essays on international finance and empirical asset pricing. / Maletic, M.

Tilburg : CentER, Center for Economic Research, 2020. 116 p.

Research output: ThesisDoctoral Thesis

TY - THES

T1 - Essays on international finance and empirical asset pricing

AU - Maletic, M.

N1 - CentER Dissertation Series Volume: 617

PY - 2020

Y1 - 2020

N2 - The Ph.D. dissertation consists of three chapters. The first chapter is investigating the impact of the Chinese economy on the term structure of interest rates in Germany and the United States through the lenses of the traditional asset pricing models. In the post financial crisis environment with low growth and inflation, and the monetary policy, which is constrained by the effective lower bound, investors are willing to accept lower compensation for holding nominal long-term bonds instead of short-term securities when the outlook about the Chinese economy deteriorates. The second chapter is investigating how the accumulation of the Chinese foreign reserves is affecting the US yield curve thorough the lenses of the modern portfolio-balance models. It is found that when the Chinese official sector rebalances away from the US Dollar, it lowers, in a way similar to the deteriorating outlook about the Chinese economy, the term premium of long-term bonds. The third chapter is investigating how R&D investments and past returns interact in explaining future returns. Firms, which are reluctant to cut the level of R&D expenditures despite the poor past performance, are rewarded with higher subsequent returns. On the other hand, only firms that have demonstrated their ability to make good investment decisions, and therefore exerted positive price performance over the last year, are rewarded with higher future returns when they increase the R&D.

AB - The Ph.D. dissertation consists of three chapters. The first chapter is investigating the impact of the Chinese economy on the term structure of interest rates in Germany and the United States through the lenses of the traditional asset pricing models. In the post financial crisis environment with low growth and inflation, and the monetary policy, which is constrained by the effective lower bound, investors are willing to accept lower compensation for holding nominal long-term bonds instead of short-term securities when the outlook about the Chinese economy deteriorates. The second chapter is investigating how the accumulation of the Chinese foreign reserves is affecting the US yield curve thorough the lenses of the modern portfolio-balance models. It is found that when the Chinese official sector rebalances away from the US Dollar, it lowers, in a way similar to the deteriorating outlook about the Chinese economy, the term premium of long-term bonds. The third chapter is investigating how R&D investments and past returns interact in explaining future returns. Firms, which are reluctant to cut the level of R&D expenditures despite the poor past performance, are rewarded with higher subsequent returns. On the other hand, only firms that have demonstrated their ability to make good investment decisions, and therefore exerted positive price performance over the last year, are rewarded with higher future returns when they increase the R&D.

M3 - Doctoral Thesis

SN - 978 90 5668 618 5

VL - 617

T3 - CentER Dissertation Series

PB - CentER, Center for Economic Research

CY - Tilburg

ER -

Maletic M. Essays on international finance and empirical asset pricing. Tilburg: CentER, Center for Economic Research, 2020. 116 p. (CentER Dissertation Series).