Essays in Empirical Finance: Evaluating Risk in FinancialMarkets Pubblico
Shcherbakova, Alysa (2009)
Published
Abstract
Essays in Empirical Finance: Evaluating Risk in Financial Markets
By Alysa V. Shcherbakova
This dissertation is comprised of two parts, each addressing an important type of financial risk. The first part is composed of an essay discussing Market Risk. This essay examines a causal relationship between the series of securities returns and traded volumes in high-frequency data. Linear and nonlinear Granger causality tests are used to evaluate a causal relationship between the series of volumes and returns of various investment vehicles within the parametric and the non-parametric frameworks, and for trading and calendar time specifications.
The second part contains two essays, each addressing a specific aspect of Firm Risk. The first essay focuses on estimating obligor credit rating migration probabilities. Short- and long-run relationships between asset quality and obligor ratings are modeled and quantified. The use of a continuous-record model addresses the problems of data sparsity and control for resulting estimation errors; while the implementation of a methodology allowing us to precisely identify the stages of the business cycle enables us to determine the incremental impact of idiosyncratic and systematic risk factors on rating transitions probabilities, resulting in more precise estimates of credit rating migration trends.
The second essay tests theoretical predictions about the relationship between leverage and firm performance set forth by the corporate finance literature. The dynamic relationship between firm performance and leverage is examined empirically using the Difference GMM method of econometric estimation. Multiple measures of performance and leverage are utilized, controlling for idiosyncrasies associated with each particular definition and allowing us to generate inferences about the practical relationship between firm performance and debt.
Table of Contents
Table of Contents
Chapter 1
2 . . . . . . . . . 1.1 Introduction
6 . . . . . . . . . 1.2 Granger Causality
10 . . . . . . . . 1.3 Non-Parametric Approach: Univariate 16 . . . . . . . . 1.4 Non-Parametric Approach: Bivariate 20 . . . . . . . . 1.5 Empirical Results 24 . . . . . . . . 1.6 Conclusions and Extensions 25 . . . . . . . . References
Chapter 2 56 . . . . . . . . 2.1 Introduction 59 . . . . . . . . 2.2 Conceptual Background 63 . . . . . . . . 2.3 Data Description 66 . . . . . . . . 2.4 Estimating Business Cycle Chronology 70 . . . . . . . . 2.5 Empirical Methodology 72 . . . . . . . . 2.6 Empirical Results 80 . . . . . . . . 2.7 Conclusions and Extensions 82 . . . . . . . . References
Chapter 3 109 . . . . . . . . 3.1 Introduction 111 . . . . . . . . 3.2 Literature Review 116 . . . . . . . . 3.3 Data Description 127 . . . . . . . . 3.4 Empirical Methodology 129 . . . . . . . . 3.5 Empirical Results 136 . . . . . . . . 3.6 Conclusions and Extensions 138 . . . . . . . . References 164 . . . . . . . . Appendix
About this Dissertation
| School | |
|---|---|
| Department | |
| Degree | |
| Submission | |
| Language |
|
| Research Field | |
| Parola chiave | |
| Committee Chair / Thesis Advisor | |
| Committee Members |
Primary PDF
| Thumbnail | Title | Date Uploaded | Actions |
|---|---|---|---|
|
|
Essays in Empirical Finance: Evaluating Risk in FinancialMarkets () | 2018-08-28 13:10:30 -0400 |
|
Supplemental Files
| Thumbnail | Title | Date Uploaded | Actions |
|---|