Normal view MARC view

Essays in asset pricing

Author: Ozoguz, Arzu INSEAD Area: FinancePublisher: Fontainebleau : INSEAD, 2006.Language: EnglishDescription: 113 p. : Graphs ; 30 cm.Type of document: INSEAD ThesisThesis Note: For the degree of Ph.D. in management, INSEAD, May 2006Bibliography/Index: Includes bibliographical referencesAbstract: This paper investigates whether the dynamics of investors' Bayesian uncertainty on the state of the economy associated with their learning gives rise to a priced risk factor that can explain the cross-sectional variation in returns. I construct two different proxies to measure investors' uncertainty over the economy. The first is estimated from the state probabilities of a two-state regime switching model of aggregate output. The second proxy of uncertainty, in contrast, is market-based and in constructed from the estimated implied volatility embedded in SandP 500 index options. Using the returns on thiruty portfolios sorted on size, book-to-market and pas returns, I first show evidence on the impact of uncertainty on asset prices.Uncertainty depresses asset valuation both at the aggregate market and at the portfolio level. The impact of uncertainty on asset prices shiws substantial cross-sectionnal variation across portfolios. I find strong evidence that uncertainty risk, measured as the comovement between returns and an unanticipated change in investor uncertainty, is a priced risk factor. In cross-sectional regressions, I find that expected stock returns are related to the sensitivities of their returns to unanticipated fluctuations in investor uncertainty on the aggregate economy. Uncertainty risk factoe is remarkably successful in explaining a large part of the cross-sectional variation in portfolio returns.I find that the risk associated with investors' Bayesian uncertainty has a positive and significant premium, even after accounting fir market return, and size and book-to-market factors. List(s) this item appears in: Ph.D. Thesis
Tags: No tags from this library for this title. Log in to add tags.
Item type Current location Collection Call number Status Date due Barcode Item holds
INSEAD Thesis Asia Campus
Archives
Print INSEAD OZO 2006
(Browse shelf)
900173704
Available 900173704
INSEAD Thesis Europe Campus
INSEAD Publications Display
Print INSEAD OZO 2006
(Browse shelf)
001220353
Available 001220353
Total holds: 0

For the degree of Ph.D. in management, INSEAD, May 2006

Includes bibliographical references

This paper investigates whether the dynamics of investors' Bayesian uncertainty on the state of the economy associated with their learning gives rise to a priced risk factor that can explain the cross-sectional variation in returns. I construct two different proxies to measure investors' uncertainty over the economy. The first is estimated from the state probabilities of a two-state regime switching model of aggregate output. The second proxy of uncertainty, in contrast, is market-based and in constructed from the estimated implied volatility embedded in SandP 500 index options. Using the returns on thiruty portfolios sorted on size, book-to-market and pas returns, I first show evidence on the impact of uncertainty on asset prices.Uncertainty depresses asset valuation both at the aggregate market and at the portfolio level. The impact of uncertainty on asset prices shiws substantial cross-sectionnal variation across portfolios. I find strong evidence that uncertainty risk, measured as the comovement between returns and an unanticipated change in investor uncertainty, is a priced risk factor. In cross-sectional regressions, I find that expected stock returns are related to the sensitivities of their returns to unanticipated fluctuations in investor uncertainty on the aggregate economy. Uncertainty risk factoe is remarkably successful in explaining a large part of the cross-sectional variation in portfolio returns.I find that the risk associated with investors' Bayesian uncertainty has a positive and significant premium, even after accounting fir market return, and size and book-to-market factors.

There are no comments for this item.

Log in to your account to post a comment.
Koha 18.11 - INSEAD Catalogue
Home | Contact Us | What's Koha?