Essays in Empirical Asset Pricing

Essays in Empirical Asset Pricing

Thesis advisor: Pierluigi Balduzzi === This dissertation consists of two essays in empirical asset pricing. Chapter I, "Skewness and Co-skewness in Bond Returns," explores skewness and co-skewness in discrete-horizon bond returns. Using data for 1976-2005, we find bond skewness is comparab...

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Bibliographic Details
Main Author: Chiang, I-Hsuan Ethan
Format: Others
Language:English
Published: Boston College 2009
Subjects:
Benchmark
Bond Return
Conditioning Information
Higher Moments
Portfolio Management
Risk Premium
Online Access:http://hdl.handle.net/2345/713

Internet

http://hdl.handle.net/2345/713

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