Business Commons^™

Essays On Empirical Asset Pricing, Mu-Shu Yun

LSU Doctoral Dissertations

This work contains three essays on empirical pricing. In the first essay, I propose to re-examine the evidence on mutual fund managers' illiquidity and volatility timing ability by using a holdings-based approach, which is free from the artificial timing bias occurred in the traditional return-based timing method. Through testing the timing evidence by the holdings approach, I am able to know to what degree the results in the literature are biased by no-information reasons. In the second essay, I investigate mutual fund managers' skills from their reactions to the observable market condition, which is a relatively overlooked dimension in the …