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Essays On Empirical Asset Pricing Models, Somayeh Ahmadi
Essays On Empirical Asset Pricing Models, Somayeh Ahmadi
Dissertations, Theses, and Capstone Projects
This thesis examines co-movement across industry return and value and momentum asset price anomalies through a new perspective and uses machine learning and spatial econometrics approaches. The first chapter examines the main approaches developed in the cross-section asset pricing literature for finding risk variables. The second chapter focuses on spatial co-movement across US industry returns. We show that spatial co-movement explains the variance in US industry returns after accounting for exposure to common variables, serial dynamics, and industry sector-specific characteristics using a dynamic spatial panel data model. The results show that an investment strategy that buys industry portfolios with high …