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Three essays on the time series of returns
(University of Missouri--Columbia, 2023)
price variations across the market and 30 industry portfolios monthly from 1976 to 2020. Cash flow expectations matter more under financial uncertainty and recessions, especially among the hardest-hit industries such as Telecommunications during the Dot...
Three essays on innovation, corporate control and household consumption-based asset pricing
(University of Missouri--Columbia, 2021)
portfolios and is the only consumption measure that passes Kleibergen and Zhan (Journal of Finance, 2020) robust tests. Our model decomposes consumption shocks into different frequencies of volatility and shows that ignoring short-term dynamics and intra...