Essays on asset pricing: comparisons of factor models, investigations of the roles of illiquidity, R&D investment, product market competition, and labor mobility

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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...

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Bibliographic Details
Main Author:	Bu, Ziwen
Format:	Thesis (University of Nottingham only)
Language:	English
Published:	2019
Subjects:	asset pricing; factor models; illiquidity; product market competition; labor mobility
Online Access:	https://eprints.nottingham.ac.uk/56436/

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