Dissertation
Essays in financial economics
Washington State University
Doctor of Philosophy (PhD), Washington State University
12/2008
DOI:
https://doi.org/10.7273/000005826
Abstract
"Essays in Financial Economics" consists of two separate manuscripts related to financial asset pricing. In the first manuscript of the dissertation, "Time variability in market risk aversion," I adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. This approach yields second moments that are not influenced by a specified model for expected returns. Supporting the permanent income hypothesis, I find risk aversion responds to consumption smoothing behavior. As income increases, or as the ratio of consumption to income falls, relative risk aversion decreases. I also document variation in risk aversion across portfolios: risk aversion is highest for small and value portfolios. In the second manuscript, "Emerging market contagion," I analyze hypotheses regarding the impact of emerging market crises on domestic portfolios. Based on liquidity shock and flight from risk hypotheses, I test for contagion effects from recent emerging market crises to domestic portfolios. From the hypotheses, contagion effects may vary across portfolios based on portfolio characteristics such as risk and liquidity. With size and book to market value as proxies for both risk and liquidity, I find support for the flight from risk hypothesis. Small stocks exhibit negative abnormal returns and mid to high book to market stocks exhibit increased sensitivity to world and emerging market stocks during crises. Safer stocks exhibit positive abnormal returns. I find little evidence of contagion at the market level, indicating studies that focus on national aggregates may miss important dynamics during crises.
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Details
- Title
- Essays in financial economics
- Creators
- David G. Berger
- Contributors
- Harry J. Turtle (Chair)
- Awarding Institution
- Washington State University
- Academic Unit
- Carson College of Business
- Theses and Dissertations
- Doctor of Philosophy (PhD), Washington State University
- Publisher
- Washington State University
- Number of pages
- 80
- Identifiers
- 99901055139601842
- Language
- English
- Resource Type
- Dissertation