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.