Three essays on risk, uncertainty, and expected returns

dc.contributor.advisorLien, Donald
dc.contributor.authorEhsani, Sina
dc.contributor.committeeMemberMisra, Lalatendu
dc.contributor.committeeMemberBhanot, Karan
dc.contributor.committeeMemberLiu, Long
dc.descriptionThis item is available only to currently enrolled UTSA students, faculty or staff. To download, navigate to Log In in the top right-hand corner of this screen, then select Log in with my UTSA ID.
dc.description.abstractThe first chapter of this dissertation explores the effects of the recent rise of passive investing on the U.S. stock market. The analysis establishes a strong relation between passive investment and aggregate price dynamics such as systematic volatility, idiosyncratic volatility, and price synchronicity, suggesting that investors should consider trading activity of passive products in decision making. The second chapter examines the pricing of characteristics and betas in the cross-section of expected corporate loan returns. Despite the increasing popularity of the secondary loan market among institutional investors, this market is unexplored in the context of empirical asset pricing literature. This comprehensive study takes the first step to fill the gap by investigating the sources of risk and predictability of corporate loan returns. We find that one loan specific characteristic, momentum, and one covariance-based characteristic, default beta, explain the cross-section of loan expected returns. The final chapter first introduces a measure of model uncertainty regarding the future return distribution of the U.S. stock market and then examines the pricing of model uncertainty in the cross-section of stock returns.
dc.format.extent151 pages
dc.subjectExpected Returns
dc.subjectIdiosyncratic Volatility
dc.subjectMarket Volatility
dc.subjectPassive Trading
dc.subjectSyndicated Corporate Loan Market
dc.titleThree essays on risk, uncertainty, and expected returns
dcterms.accessRightspq_closed of Texas at San Antonio of Philosophy


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