Date of Award
Doctor of Philosophy (PhD)
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.
Chair and Committee
Werner Ploberger, Xing Huang, Siddhartha Chib, Nan Lin,
Ross, Landon James, "Essays in Empirical Asset Pricing" (2021). Arts & Sciences Electronic Theses and Dissertations. 2527.