This thesis comprises three essays on asset pricing on the stock
and options markets. The first essay finds a positive relation between the
slope of the volatility term structure and subsequent option returns. The second
essay finds a negative relation between realized skewness, extracted from
high-frequency data, and stock returns. The third essay finds a negative
relation between price jumps of intraday data and future stock returns.
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Tyagi, Vikrant. 2010. Essays In Credit Portfolio Management . Doctoral Dissertation, Cornell University. The current financial crisis has...
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This thesis consists of four studies on the interactions of capital structure and product market competition, and on several aspects of g...
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This thesis comprises three essays on asset pricing on the stock and options markets. The first essay finds a positive relation between the...
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