Three essays on empirical asset pricing

• 主要作者: ZENG, Ming
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2018
• 主題: Currency carry and momentum; Intermediary; Inflation risk and ambiguity; stock return predictability; cross-section of stock returns; Finance; Growth and Development
• 在線閱讀: https://ink.library.smu.edu.sg/etd_coll/152; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1151&context=etd_coll

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...