Title page for 93448007


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Student Number 93448007
Author Kuan-Cheng Ko(¬_«a¦¨)
Author's Email Address No Public.
Statistics This thesis had been viewed 2736 times. Download 850 times.
Department Finance
Year 2007
Semester 2
Degree Ph.D.
Type of Document Doctoral Dissertation
Language English
Title Essays on Firm Characteristics, Alternative Factors, and Asset-Pricing Anomalies
Date of Defense 2008-05-28
Page Count 60
Keyword
  • Asset pricing anomalies
  • Characteristics model
  • Equilibrium anomalies
  • Factor model
  • Liquidity
  • Risk factors
  • Structural break
  • Abstract This study contains two essays on factors, characteristics and asset-pricing anomalies.
    Essay 1: Do Relative Leverage and Relative Distress Really Explain Size and Book-to-Market Anomalies?
    In a CAPM framework, Ferguson and Shockley (2003) argue that size and value premiums are due to the improper use of an equity-only market portfolio. To complement the debt claims in the market portfolio, they propose two factors on relative leverage and relative distress, and show that the two factors subsume the explanatory power of Fama and Frenchˇ¦s (1993) SMB and HML factors. However, based on an errors-in-variables free methodology proposed by Brennan, Chordia and Subrahmanyam (1998), we find that neither Ferguson and Shockleyˇ¦s (2003) nor Fama and Frenchˇ¦s (1993) models fully explain the book-to-market anomaly. As a further application, we find an augmented five-factor model which incorporates Fama and Frenchˇ¦s (1993) factors into Ferguson and Shockleyˇ¦s (2003) factors, is able to capture the book-to-market anomaly.
    Essay 2: What Drives the Liquidity Premium: Factors or Characteristics?
    In this paper, we investigate whether the nature of the liquidity premium is driven by the risk-based model or the characteristics-based model. We provide a comprehensive analysis by using three widely adopted liquidity measures, including the trading quantity dimension of Datar et al. (1998), the price impact dimension of Amihud (2002) and Liuˇ¦s (2006) measure which emphasizes on the trading speed dimension. By applying the methodology of Daniel and Titman (1997) and Davis et al. (2000), we show that overall the liquidity premium is better explained by the risk-based factor model.
    Table of Content Abstract in Chinese 0
    Abstract 0
    Acknowledgements 1
    Contents 3
    List of Tables 5
    1 Do Relative Leverage and Relative Distress Really Explain Size and
    Book-to-Market Anomalies? 1
    1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
    1.2 Model and methodology . . . . . . . . . . . . . . . . . . . . . . . . . 5
    1.2.1 Ferguson and Shockleyˇ¦s (2003) model . . . . . . . . . . . . . 5
    1.2.2 Relative covariation of stocks in factor loadings . . . . . . . . 6
    1.2.3 BCS approach and testing hypotheses . . . . . . . . . . . . . . 7
    1.3 Data . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
    1.4 Empirical analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
    1.4.1 Relative covariation of stocks in factor loadings . . . . . . . . 13
    1.4.2 Main results . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15
    1.4.3 Robustness checks . . . . . . . . . . . . . . . . . . . . . . . . 18
    1.5 An augmented five-factor model . . . . . . . . . . . . . . . . . . . . . 20
    1.6 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
    2 What Drives the Liquidity Premium: Factors or Characteristics? 25
    2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
    2.2 Data and summary statistics . . . . . . . . . . . . . . . . . . . . . . . 28
    2.3 Liquidity versus size and BM . . . . . . . . . . . . . . . . . . . . . . 32
    2.3.1 Is liquidity independent of size and BM? . . . . . . . . . . . . 32
    2.3.2 Fama-MacBeth regression . . . . . . . . . . . . . . . . . . . . 33
    2.4 The liquidity premium: factors versus characteristics . . . . . . . . . 36
    2.4.1 Evidence on the measure of Datar et al. (1998) . . . . . . . . 38
    2.4.2 Evidence on Amihudˇ¦s (2002) measure . . . . . . . . . . . . . 41
    2.4.3 Evidence on Liuˇ¦s (2006) measure . . . . . . . . . . . . . . . . 43
    2.4.4 Structural break test . . . . . . . . . . . . . . . . . . . . . . . 46
    2.5 Conclusion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50
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    Advisor
  • Pin-Huang Chou(©P»«°Ä)
  • Files
  • 93448007.pdf
  • approve in 2 years
    Date of Submission 2008-06-05

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