Essays on empirical asset pricing

• Main Author: CHEN, Zilin
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Private subsidiaries; public parent firms; limited attention; limits to arbitrage; return predictability; Geographic peers; Material subsidiaries; Limited attention; Return predictability; Presidential puzzle; political cycle; presidential economic approval rating; presidential job approval rating; sentiment; Behavioral Economics; Economics
• Online Access: https://ink.library.smu.edu.sg/etd_coll/337; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1333&context=etd_coll
• Institution: Singapore Management University

The dissertation consists of three chapters on empirical asset pricing. The first chapter examines whether the cross-sectional variation in private subsidiaries’ information disclosure predicts the cross-sectional dispersion in future equity returns of public parent firms. Information disclosure on...