Date of Award
Doctor of Philosophy (PhD)
The first and second chapters of my dissertation are about empirical asset pricing, and the third chapter is about international macroeconomics.
In the first chapter, we study slope factors (estimated OLS slopes from Fama-Macbeth regressions of firm returns on lagged standardized characteristics) in relation to sorted and ranked factors. We show that slope factors provide significant value if they are pure-play, i.e., purged of the effects of a broad set of characteristics. Starting from 47 characteristics, we show, by a new risk factor discovery method, that the SDF varies by factor construction class. On a large collection of test assets, the slope factor based SDF uniformly prices more portfolios, ETFs and stocks. These findings support an increased use of slope factors in asset pricing.
The second chapter builds on the first chapter and develops a method of constructing nonparametric slope factors with natural cubic splines and tangency portfolios. The nonparametric slope risk factors set dominates the parametric slope risk factors set in pricing the cross-section of expected stock returns, and generates higher Sharpe ratios both in-sample and out-of-sample.
The third chapter examines the Taiwanese economy in a small open economy DSGE model using Bayesian estimation. The model consists of two countries and 12 exogenous shocks with stochastic volatility to capture the fluctuations in the business cycle. The model is estimated and analyzed by the `DSGE-SVt' MATLAB package with Taiwan and US data. The main results are: (1) shock innovations with stochastic volatility increase the model fit, (2) shocks originating from outside the country are important sources of fluctuations in the Taiwanese business cycle.
Chair and Committee
Gaetano Antinolfi, Werner Ploberger, Andreas Neuhierl, Guofu Zhou,
Lin, Yi Chun, "Essays in Finance and Macroeconomics" (2023). Arts & Sciences Electronic Theses and Dissertations. 2880.
Available for download on Friday, April 18, 2025