Essays on asset pricing: comparisons of factor models, investigations of the roles of illiquidity, R&D investment, product market competition, and labor mobility
This thesis comprises three essays in asset pricing, with a focus on scrutinizing factor models and dissecting anomalies. In the first chapter, I compare major factor models and find that the Stambaugh and Yuan (2016) four-factor model is the overall winner in the time-series domain. The Hou, Xue, a...
| Main Author: | |
|---|---|
| Format: | Thesis (University of Nottingham only) |
| Language: | English |
| Published: |
2019
|
| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/56436/ |