Essays on empirical asset pricing

Essays on empirical asset pricing

The dissertation consists of four chapters on empirical asset pricing. The first chapter reexamines the existence of time-series momentum. Time-series momentum (TSM) refers to the predictability of the past 12-month return on the next one month return. Using the same data set as Moskowitz, Ooi, and...

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Bibliographic Details
Main Author: Wang, Liyao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2020
Subjects:
Predictability
Asset pricing
Time-series momentum
Disagreement
Political uncertainty
Econometrics
Political Economy
Online Access:https://ink.library.smu.edu.sg/etd_coll/289
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1284&context=etd_coll
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/etd_coll/289
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1284&context=etd_coll

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