ORCID
http://orcid.org/0000-0001-6845-6483
Date of Award
Summer 8-15-2021
Degree Name
Doctor of Philosophy (PhD)
Degree Type
Dissertation
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.
Language
English (en)
Chair and Committee
Guofu Zhou
Committee Members
Werner Ploberger, Xing Huang, Siddhartha Chib, Nan Lin,
Recommended Citation
Ross, Landon James, "Essays in Empirical Asset Pricing" (2021). Arts & Sciences Electronic Theses and Dissertations. 2527.
https://openscholarship.wustl.edu/art_sci_etds/2527