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Four Essays on Asset Pricing and Structural Estitmation.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Four Essays on Asset Pricing and Structural Estitmation.
Author:	Salerno, Marco.
Published:	Ann Arbor : ProQuest Dissertations & Theses, 2022
Description:	217 p.
Notes:	Source: Dissertations Abstracts International, Volume: 84-05, Section: A.
Notes:	Advisor: Elkamhi, Redouane R.
Contained By:	Dissertations Abstracts International84-05A.
Subject:	Finance.
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29255956
ISBN:	9798834068631

Four Essays on Asset Pricing and Structural Estitmation.
Salerno, Marco.

Four Essays on Asset Pricing and Structural Estitmation. - Ann Arbor : ProQuest Dissertations & Theses, 2022 - 217 p.

Source: Dissertations Abstracts International, Volume: 84-05, Section: A.

Thesis (Ph.D.)--University of Toronto (Canada), 2022.

This item is not available from ProQuest Dissertations & Theses.

This dissertation contains four essays on asset pricing and structural estimation. The first essay illustrates the necessary and sufficient conditions via a statistical test for risk-based allocation rules to outperform mean-variance optimization. The essay empirically tests the predictions from the statistical test on many datasets ad finds that inverse volatility rules outperform mean-variance out of sample consistent with the prediction from the statistical test. Furthermore, it uses machine learning to leverage the properties of the inverse volatility portfolio to further enhance the out-of-sample performance of this allocation rule. The second essay develops 50 novel indices of State-level Economic Policy Uncertainty (SEPU) based on newspaper coverage frequency using 204 million state newspaper articles from January 1990 to December 2019. The essay assesses that SEPU indices vary counter-cyclically with respect to state-specific economic conditions, rise before close gubernatorial elections, and exhibit a large cross-sectional variation. Overall these findings highlight the importance of economic policy uncertainty at the state level in addition to the nationwide level.The third essay uses Simulated Method of Moments to estimate the costs of financial distress experienced prior to default separately from the loss incurred at default. The paper shows that, by accounting for pre-default costs of financial distress, a standard capital structure model can fit the data considerably better than previous models. The fourth essay develops a dynamic capital structure model to study how manager-shareholders agency conflicts affect the joint determination of financing and investment decisions. It shows that there are two agency conflicts with opposing effects on a manager's choice of investment: (a) the consumption of private benefits channel leads managers not only to choose a lower optimal leverage, but also to underinvest, (b) compensation linked to firm size may lead managers to overinvest. The paper uses Simulated Method of Moments to fit the model to the data and show that the average firm slightly overinvests, younger CEOs invest more than older ones, while CEOs with longer tenure overinvest more than CEOs with smaller tenure.

ISBN: 9798834068631Subjects--Topical Terms:

183252
Finance.
Subjects--Index Terms:

Asset pricing

Four Essays on Asset Pricing and Structural Estitmation.
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245 1 0 $a Four Essays on Asset Pricing and Structural Estitmation.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2022
300 $a 217 p.
500 $a Source: Dissertations Abstracts International, Volume: 84-05, Section: A.
500 $a Advisor: Elkamhi, Redouane R.
502 $a Thesis (Ph.D.)--University of Toronto (Canada), 2022.
506 $a This item is not available from ProQuest Dissertations & Theses.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be sold to any third party vendors.
520 $a This dissertation contains four essays on asset pricing and structural estimation. The first essay illustrates the necessary and sufficient conditions via a statistical test for risk-based allocation rules to outperform mean-variance optimization. The essay empirically tests the predictions from the statistical test on many datasets ad finds that inverse volatility rules outperform mean-variance out of sample consistent with the prediction from the statistical test. Furthermore, it uses machine learning to leverage the properties of the inverse volatility portfolio to further enhance the out-of-sample performance of this allocation rule. The second essay develops 50 novel indices of State-level Economic Policy Uncertainty (SEPU) based on newspaper coverage frequency using 204 million state newspaper articles from January 1990 to December 2019. The essay assesses that SEPU indices vary counter-cyclically with respect to state-specific economic conditions, rise before close gubernatorial elections, and exhibit a large cross-sectional variation. Overall these findings highlight the importance of economic policy uncertainty at the state level in addition to the nationwide level.The third essay uses Simulated Method of Moments to estimate the costs of financial distress experienced prior to default separately from the loss incurred at default. The paper shows that, by accounting for pre-default costs of financial distress, a standard capital structure model can fit the data considerably better than previous models. The fourth essay develops a dynamic capital structure model to study how manager-shareholders agency conflicts affect the joint determination of financing and investment decisions. It shows that there are two agency conflicts with opposing effects on a manager's choice of investment: (a) the consumption of private benefits channel leads managers not only to choose a lower optimal leverage, but also to underinvest, (b) compensation linked to firm size may lead managers to overinvest. The paper uses Simulated Method of Moments to fit the model to the data and show that the average firm slightly overinvests, younger CEOs invest more than older ones, while CEOs with longer tenure overinvest more than CEOs with smaller tenure.
590 $a School code: 0779.
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653 $a Asset pricing
653 $a Structural estimation
653 $a Economic policy uncertainty
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690 $a 0511
710 2 $a University of Toronto (Canada). $b Management. $3 857478
773 0 $t Dissertations Abstracts International $g 84-05A.
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791 $a Ph.D.
792 $a 2022
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=29255956