Finance and Financial Management Commons^™

Essays On The Information Role Of Credit Default Swaps, Hao Cheng

Dissertations and Theses Collection (Open Access)

Chapter 1: Credit Default Swaps Pricing Errors and Related Stock Returns

This article investigates the impacts of Credit Default Swaps (CDS) pricing errors on related stock returns. Using a parsimonious CDS valuation model, which produces an above average adjusted R2 of 90%, I find that its pricing errors significantly predict cross-section stock returns. Further investigation reveals that the cross-market return predictability channels via Merton (1974)'s structural prediction and primary dealers' capital risk. This paper provides a novel view of the complex interactions of capital markets and offers insights on the relative market efficiencies.

Chapter 2: CDS Markets Informativeness and Related …

Essay On Asset Pricing, Fei Gao

Dissertations and Theses Collection (Open Access)

We uncover a novel stock return predictor from the options market, the volume-weighted strike-spot price ratio (VWKS) across all traded option contracts. High (low) VWKS indicates that the mass of options volume on an underlying stock centers at the out-of-the-money region of call (put) options. Empirically, VWKS has positive and robust predictive ability for underlying returns after controlling for a long list of variables including known return predictors from the options market, stock illiquidity, and past stock returns, and has more persistent and stronger predictive power for stocks with higher information asymmetry and arbitrage costs. We also find that VWKS …

Essays In Commodities And Freight Markets, Nelson Yap

Dissertations and Theses Collection (Open Access)

Chapter 1: Structural Changes in Functional Curves: Estimation and Testing

Abstract: This paper considers the estimation and testing of structural changes in functional curves that occurs at an unknown date. The functional principal component analysis is applied to the random functional curves, decomposing them into interpretable simple latent functions and random scalars. We model the random scalars using a simple autoregressive model and test for a change in parameters that occur at an unknown date. This method is applied to the crude oil futures market to estimate and date possible structural breaks during OPEC announcement periods from 1984 to 2017.