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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Main Author: | ZENG, Ming |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2018
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Subjects: | |
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 |
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