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Essays in empirical asset pricing

Krista Schwarz, 2010
Faculty Advisor: Andrew Ang


This dissertation is concerned with empirical evidence on the pricing of risky assets. The first chapter asks whether the surge in risk spreads during the recent financial crisis owes to credit or liquidity problems. To address this question, I form new credit and liquidity risk measures and then use these to decompose interest rate spreads into credit and liquidity components. While credit and liquidity are both important in explaining interest rate spreads, I find that liquidity effects explain a much larger share of the rise in risk spreads than had previously been found by other researchers. The second chapter investigates the effect of futures market participant positioning announcements by the Commodity and Futures Trading Commission on equity futures prices. Using high-frequency intradaily data, I find that these announcements have a significant effect: news that speculators have net long futures positions leads equity prices to rise. This is consistent with a view that speculators have an information advantage. The final chapter, which is joint work with Andrew Ang and Jun Liu, revisits the estimation of factor risk premia: a classic problem in empirical asset pricing. The existing literature almost invariably uses portfolios as test assets on the grounds that their betas are estimated more precisely. This chapter uses theoretical, empirical, and Monte-Carlo evidence to compare the properties of factor risk premium estimates when the test assets are portfolios versus individual stocks. Contrary to the conventional wisdom, the most efficient estimates are obtained when using individual stocks.

Doctoral Program News

Honigsberg featured in Ideas at Work

The August issue of Ideas at Work features research that doctoral candidate Colleen Honigsberg led in conjunction with Sharon Katz.

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Wazlawek featured in Ideas at Work

Abbie Wazlawek's joint research with Professor Daniel Ames is featured in the June 24th, 2014 edition of Ideas at Work

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Ethan Rouen featured in Ideas at Work

Ethan Rouen's joint research with Professor Dan Amiram is featured in the May 15th, 2014 edition of Ideas at Work

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Rivas Wins Fellowship

The PhD program is proud to congratulate Miguel Duro Rivas, who was awarded the Nasdaq Educational Foundation Doctoral Dissertation Fellowship.

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Wong wins Deloitte Fellowship

We are proud to announce that Yu Ting (Forester) Wong is one of the recipients of the 2014 Deloitte Foundation Doctoral Fellowship in Accounting.

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The PhD Program Congratulates John Yao

PhD student John Yao was a finalist in the 2013 M&SOM (Manufacturing & Service Operations Management) student paper competition.

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Honigsberg Named Postdoctoral Fellow

The PhD program is proud to congratulate Colleen Honigsberg, who was named the Postdoctoral Fellow in Corporate Governance at the Millstein Center at Columbia Law School in October 2013

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