Essays on empirical asset pricing

• 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
• Institution: Singapore Management University

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...