This Ph.D. thesis consists of three chapters about investing in stock and bond markets. The first chapter studies the financial market’s response to economic news as function of the economic environment by attributing the daily stock returns to its main drivers. The second chapter studies the cross section of stocks and specifically the interest rate sensitivity of the low-volatility anomaly and shows that a significant part of the low-volatility anomaly can be explained by the exposure to interest rates. The last chapter is about multi-asset investing and the implications of the rebalancing frequency for long-term investors.
|Qualification||Doctor of Philosophy|
|Award date||21 Dec 2017|
|Place of Publication||Tilburg|
|Print ISBNs||978 90 5668 543 0|
|Publication status||Published - 2017|