Essays in Financial Economics
Access StatusFull text of the requested work is not available in DASH at this time ("dark deposit"). For more information on dark deposits, see our FAQ.
MetadataShow full item record
CitationZhang, Fan. 2014. Essays in Financial Economics. Doctoral dissertation, Harvard University.
AbstractThis dissertation presents three essays. The first essay finds that the household risky ratio, the ratio of high risk assets over low risk assets directly owned by households, is a strong negative predictor of the equity premium on the US stock market. The predictability is robust to definition of the asset classes, first versus second half of sample, and the finite-sample bias of Stambaugh (1999). The predictability is stronger than, and not subsumed by popular predictors like price-earnings ratios, yield spread, equity share of issues, or consumption-wealth ratios. The main predictive power is decomposed into three similar parts: 1) the household tilt of risky assets, which is novel and generally orthogonal to known predictors; 2) a valuation ratio component; and 3) an issuance component of high risk versus low risk assets.
Citable link to this pagehttp://nrs.harvard.edu/urn-3:HUL.InstRepos:12274634
- FAS Theses and Dissertations