Now showing items 1-6 of 6

    • A New Asset Pricing Model based on the Zero-Beta CAPM: Theory and Evidence 

      Liu, Wei (2013-05-08)
      This work utilizes zero-beta CAPM to derive an alternative form dubbed the ZCAPM. The ZCAPM posits that asset prices are a function of market risk composed of two components: average market returns and cross-sectional ...
    • A Capital Market Test of Representativeness 

      Safdar, Mohammad (2012-07-16)
      While some prior studies document that investors overreact to information in sales growth as consistent with representativeness bias, other studies find no evidence of investor overreaction to either sales or earnings ...
    • Divergence of opinions, short sales, and asset prices 

      Erturk, Bilal (2009-06-02)
      Prior research has established that stocks with high dispersion of earnings forecasts or short interest are associated with low subsequent returns. Assuming dispersion of forecasts is a proxy for divergence of opinions and ...
    • The efficiency of the U.S. cotton futures market (1986-2006): normal backwardation, co-integration, and asset pricing 

      Chavez, Marissa Joyce (2009-06-02)
      The efficiency of commodity futures markets is a widely debated topic in academia. The cotton futures market is no exception. The existence of trends in the futures market is characterized as a price bias, which is a ...
    • Essays in asset pricing and portfolio choice 

      Illeditsch, Philipp Karl (2009-05-15)
      In the first essay, I decompose inflation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor’s preferences and investment opportunities and (ii) a residual ...
    • Essays on Economic Dynamics 

      Jiang, Shenzhe (2017-07-17)
      The dissertation includes two sections, which apply dynamic economic models to study different economic issues. The Section Two studies the optimal design of the Pacific Salmon Treaty, which was signed by the U.S. and ...