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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2020
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| 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 |