Essays on macroeconomic risks and stock returns.
Item
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Title
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Essays on macroeconomic risks and stock returns.
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Identifier
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AAI3330370
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identifier
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3330370
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Creator
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Tang, Yi.
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Contributor
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Adviser: Linda Allen
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Date
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2008
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Language
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English
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Publisher
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City University of New York.
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Subject
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Economics, Finance
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Abstract
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Essay1. We use two dynamic factors, one real and the other nominal, to summarize the systematic information. We then separate the cash flow effect from the pricing kernel effect by linking systematic economic risks to stock returns. We show that the market charges a positive price for the real output growth risk, but a negative price for the inflation risk.;Essay2. We estimate the conditional covariances between excess returns on a large cross section of stock portfolios and the economic shocks. The system of equations are estimated with a common slope coefficient between excess returns and their conditional covariance with the economic shocks. The results indicate a significantly negative (positive) relation between the portfolio returns and their conditional covariance with the inflation-related (output-related) shocks.;Essay3. Economic theory suggests that a company's currency risk exposure depends crucially on its fundamental involvement in international trade. For US industries, we find that the stock performance of an import-oriented company moves positively with the performance of the dollar, but the stock performance of export-oriented company tends to move against the dollar.
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Type
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dissertation
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Source
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PQT Legacy CUNY.xlsx
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degree
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Ph.D.
