Three essays on empirical asset pricing

Three essays on empirical asset pricing

This thesis consists of three chapters. In Chapter1, I show that returns to currency carry and momentum strategies are compensations for the risk of US monetary policy uncertainty (MPU), with risk exposures explaining 96% of their cross-sectional return variations. The findings are consistent with a...

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Bibliographic Details
Main Author: ZENG, Ming
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2018
Subjects:
Currency carry and momentum
Intermediary
Inflation risk and ambiguity
stock return predictability
cross-section of stock returns
Finance
Growth and Development
Online Access:https://ink.library.smu.edu.sg/etd_coll/152
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1151&context=etd_coll
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/152
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1151&context=etd_coll

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