Abstract

This dissertation examines several empirical questions regarding the determiniation of asset prices. The first chapter studies the effect of firm characteristics’ interactions on the cross-section of expected returns via a modified Fama-Macbeth regression suitable for estima- tion problems involving thousands of firm characteristics. The second chapter estimates eco- nomically significant risks from legally required risk disclosures in public companies annual filings via a novel regression specification designed for the estimation of firm characteristics that are both aligned with expected returns and semantically meaningful. The third chapter examines the aggregate financial consequences of firms’ cash holdings for shareholders.

Committee Chair

Guofu Zhou

Committee Members

Werner Ploberger, Xing Huang, Siddhartha Chib, Nan Lin,

Degree

Doctor of Philosophy (PhD)

Author's Department

Business Administration

Author's School

Graduate School of Arts and Sciences

Document Type

Dissertation

Date of Award

Summer 8-15-2021

Language

English (en)

Author's ORCID

http://orcid.org/0000-0001-6845-6483

Download

Included in

Business Commons

Share

COinS