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Essays in empirical asset pricing

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Kırlı Öziş, Rabia İmra (2020) Essays in empirical asset pricing. [Thesis]

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Official URL: https://risc01.sabanciuniv.edu/record=b2473820 _(Table of contents)

Abstract

This dissertation consists of three articles. In the first article, I provide a literature survey on the cross-section and time-series of expected returns. I review some of the most significant empirical anomalies in the literature. The second article utilizes an international context and revisits the findings which argue that the positive relation between book-to-market ratio and future equity returns is driven by historical changes in firm size in the US. After confirming these results in the US setting, I find that they do not hold in regions outside the US. In the international sample, book-to-market ratio has a significantly positive relation with future equity returns even after changes in firm size are controlled for in regression analyses. This positive relation is again visible when the orthogonal component of book-to-market ratio is used as a sorting variable in portfolio analyses. The third article examines the predictive power of average skewness, defined as the average of monthly skewness values across stocks, in an international setting. First, after confirming the validity of the US results for the sample period between 1990 and 2016, I find that the intertemporal relation between average skewness and future market returns becomes either insignificant or marginally significant when the sample period is extended. Second, when I repeat the analysis in 22 developed non-US markets, I find that average skewness has no robust predictive power. The inability of average skewness to forecast market returns does not depend on the method used to calculate average skewness or the regression specification

Item Type:Thesis
Uncontrolled Keywords:Cross-section of equity returns. -- Value premium. -- Time-series of equity returns. -- Average skewness. -- International finance . -- Pay getirilerinin kesiti. -- Değer primi. -- Pay getirilerinin zaman serisi. -- Ortalama çarpıklık. -- Uluslararası finans.
Subjects:H Social Sciences > HD Industries. Land use. Labor
ID Code:40121
Deposited By:IC-Cataloging
Deposited On:24 Aug 2020 12:13
Last Modified:24 Aug 2020 14:54

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