Three Essays on Empirical Asset Pricing in International Equity Markets.

• Superior document: Gabler Theses Series
• Author: Müller, Birgit Charlotte.
• Place / Publishing House: Wiesbaden : : Springer Fachmedien Wiesbaden GmbH,, 2021.; {copy}2021.
• Year of Publication: 2021
• Edition: 1st ed.
• Language: German
• Series: Gabler Theses Series
• Physical Description: 1 online resource (162 pages)

Table of Contents

Intro -- Abstract -- Kurzbeschreibung -- Contents -- List of Tables -- List of Figures -- Acknowledgements -- Chapter 1 General Introduction -- 1.1 Motivation and Background -- 1.2 International Equity Markets: An Overview -- 1.3 Dissertation Studies and Research Questions -- 1.3.1 Essay 1: Cross-Country Composite Momentum -- 1.3.2 Essay 2: Capital Share Risk in International Asset Pricing -- 1.3.3 Essay 3: The Pricing of European Non-Performing Real Estate Loan Portfolios -- Chapter 2 Cross-Country Composite Momentum -- 2.1 Introduction -- 2.2 An Overview on Momentum Models and Enhanced Momentum Strategies -- 2.3 Data and Methodology -- 2.3.1 Stock Market Data -- 2.3.2 Composite Momentum -- 2.3.2.1 Selection and Measurement of Momentum-Enhancing Characteristics -- 2.3.2.2 Methodological Setup -- 2.3.3 Extreme Past Returns and Idiosyncratic Volatility -- 2.4 Empirical Results -- 2.4.1 Portfolio Returns of Single Momentum-Enhancing Trading Strategies -- 2.4.2 Fama-MacBeth Regressions of Composite Momentum -- 2.4.3 Composite-Enhanced Trading Strategy -- 2.5 Cross-Country Analyses: Determinants of (Composite-Enhanced) Momentum Returns -- 2.5.1 Country Characteristics -- 2.5.2 Cross-Sectional Regressions -- 2.5.3 Competing Explanations of (Composite-Enhanced) Momentum -- 2.6 Conclusion -- Chapter 3 Capital Share Risk in International Asset Pricing -- 3.1 Introduction -- 3.2 Related Literature and Hypothesis Development -- 3.3 Data and Methodology -- 3.3.1 Data Sample and Summary Statistics -- 3.3.2 Econometric Approach -- 3.4 Empirical Results -- 3.4.1 Local Capital Share Growth in International Equity Markets -- 3.4.2 Local Capital Share Growth in Multi-Factor Models -- 3.4.3 Global Capital Share Growth in International Equity Markets -- 3.4.4 Cross-Country Analyses: Determinants of Capital Share Risk Estimates -- 3.4.4.1 Country Characteristics.

3.4.4.2 Cross-Sectional Regressions -- 3.4.5 Cross-Country Trading Strategy -- 3.5 Conclusion -- Chapter 4 The Pricing of European Non-Performing Real Estate Loan Portfolios -- 4.1 Introduction -- 4.2 Related Literature and Hypothesis Development -- 4.3 Data and Methodology -- 4.3.1 Data Set -- 4.3.2 Methodology -- 4.4 Empirical Results -- 4.4.1 Abnormal Returns Following NPL Divestiture Announcements -- 4.4.2 Real Estate Driven Abnormal Returns -- 4.4.3 Cross-Sectional Analyses of Abnormal Returns -- 4.4.4 Cross-Sectional Buy-Side Analyses -- 4.5 Conclusion -- Chapter 5 Concluding Remarks -- Chapter 6 Bibliography.