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Three Essays on Empirical Asset Pricing in International Equity Markets.

Bibliographic Details
Main Author: Mùˆller, Birgit Charlotte.
Format: eBook
Language:German
Published: Wiesbaden : Springer Fachmedien Wiesbaden GmbH, 2021.
Edition:1st ed.
Series:Gabler Theses Series
Subjects:
Electronic books.
Online Access:Click to View
Table of Contents:
  • Intro
  • Abstract
  • Kurzbeschreibung
  • Contents
  • List of Tables
  • List of Figures
  • Acknowledgements
  • Chapter 1 General Introduction
  • 1.1 Motivation and Background
  • 1.2 International Equity Markets: An Overview
  • 1.3 Dissertation Studies and Research Questions
  • 1.3.1 Essay 1: Cross-Country Composite Momentum
  • 1.3.2 Essay 2: Capital Share Risk in International Asset Pricing
  • 1.3.3 Essay 3: The Pricing of European Non-Performing Real Estate Loan Portfolios
  • Chapter 2 Cross-Country Composite Momentum
  • 2.1 Introduction
  • 2.2 An Overview on Momentum Models and Enhanced Momentum Strategies
  • 2.3 Data and Methodology
  • 2.3.1 Stock Market Data
  • 2.3.2 Composite Momentum
  • 2.3.2.1 Selection and Measurement of Momentum-Enhancing Characteristics
  • 2.3.2.2 Methodological Setup
  • 2.3.3 Extreme Past Returns and Idiosyncratic Volatility
  • 2.4 Empirical Results
  • 2.4.1 Portfolio Returns of Single Momentum-Enhancing Trading Strategies
  • 2.4.2 Fama-MacBeth Regressions of Composite Momentum
  • 2.4.3 Composite-Enhanced Trading Strategy
  • 2.5 Cross-Country Analyses: Determinants of (Composite-Enhanced) Momentum Returns
  • 2.5.1 Country Characteristics
  • 2.5.2 Cross-Sectional Regressions
  • 2.5.3 Competing Explanations of (Composite-Enhanced) Momentum
  • 2.6 Conclusion
  • Chapter 3 Capital Share Risk in International Asset Pricing
  • 3.1 Introduction
  • 3.2 Related Literature and Hypothesis Development
  • 3.3 Data and Methodology
  • 3.3.1 Data Sample and Summary Statistics
  • 3.3.2 Econometric Approach
  • 3.4 Empirical Results
  • 3.4.1 Local Capital Share Growth in International Equity Markets
  • 3.4.2 Local Capital Share Growth in Multi-Factor Models
  • 3.4.3 Global Capital Share Growth in International Equity Markets
  • 3.4.4 Cross-Country Analyses: Determinants of Capital Share Risk Estimates
  • 3.4.4.1 Country Characteristics.
  • 3.4.4.2 Cross-Sectional Regressions
  • 3.4.5 Cross-Country Trading Strategy
  • 3.5 Conclusion
  • Chapter 4 The Pricing of European Non-Performing Real Estate Loan Portfolios
  • 4.1 Introduction
  • 4.2 Related Literature and Hypothesis Development
  • 4.3 Data and Methodology
  • 4.3.1 Data Set
  • 4.3.2 Methodology
  • 4.4 Empirical Results
  • 4.4.1 Abnormal Returns Following NPL Divestiture Announcements
  • 4.4.2 Real Estate Driven Abnormal Returns
  • 4.4.3 Cross-Sectional Analyses of Abnormal Returns
  • 4.4.4 Cross-Sectional Buy-Side Analyses
  • 4.5 Conclusion
  • Chapter 5 Concluding Remarks
  • Chapter 6 Bibliography.

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