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Full-Text Articles in Social and Behavioral Sciences
Essays On Capital Gains, Household Consumption And Corporate Payout Policy, Chris Mitchell
Essays On Capital Gains, Household Consumption And Corporate Payout Policy, Chris Mitchell
Electronic Thesis and Dissertation Repository
My dissertation consists of three chapters related to accrued capital gains. The first essay is concerned with estimating the marginal propensity to consume (MPC) out of accrued capital gains on owner-occupied housing in Canada. Its main methodological contribution lies in using a hedonic price equation to value these gains. The results suggest that for every 1 dollar increase in expected housing capital gains households increase total consumption by approximately 8.2 cents, and increase non-durable consumption by 6.2 cents.
The second essay of this thesis proposes a model of economic behaviour that can explain why corporations pay dividends despite their tax …
Essays On Financial Return And Volatility Modeling, Jing Wu
Essays On Financial Return And Volatility Modeling, Jing Wu
Electronic Thesis and Dissertation Repository
My dissertation consists of three essays focusing on modeling financial asset return and volatility.
The first essay proposes a threshold GARCH model to describe the regime-switching in volatility dynamics of financial asset returns. In the threshold model the switching of regimes is triggered by an observable variable, while volatility follows a GARCH process within each regime. We establish theoretical conditions, which ensure that the return process in the threshold model is strictly stationary, as well as conditions for the existence of finite variance and fourth moment. A simulation study is further conducted to examine the finite sample properties of the …