Logo des Repositoriums
Zur Startseite
  • English
  • Deutsch
Anmelden
  1. Startseite
  2. SuUB
  3. Dissertationen
  4. Essays on international asset pricing, cultural finance, and the price effect
 
Zitierlink DOI
10.26092/elib/1185

Essays on international asset pricing, cultural finance, and the price effect

Veröffentlichungsdatum
2021-10-07
Autoren
Hammerich, Ulrich  
Betreuer
Poddig, Thorsten  
Gutachter
Hornuf, Lars  
Zusammenfassung
This dissertation is not only a pioneer work in the new finance sphere cultural finance, but also a feat of fundamental research in international empirical asset pricing. I present significant evidence that the most basic stock characteristic, the nominal price, is consequential for stock returns (and associated with higher statistical moments) in a comprehensive cross-country dataset comprising 41 countries and a culture-dependent capital market anomaly (as it was already shown e.g. for the momentum effect).
For the case of Germany, I additionally provide an in-depth analysis of the price effect (i.e. a high/low price of an asset goes hand in hand with high/low subsequent returns) as this country offers a unique possibility to investigate the evolution and trigger of this genuinely price-based capital market anomaly due to a rapid and dramatic countrywide dispersion of stock prices in the aftermath of law amendments.
Furthermore, I find the explanatory power of risk factor mimicking hedge portfolios (especially RMRF, HML, and WML, i.e. the beta, value, and momentum factors), which are consistently implemented in empirical asset pricing models (like the FF 3-, 5-, and 6-factor models and the Carhart 4-factor model), as well as their effectiveness as investment styles to vary across cultures.
That is, the spectrum of this dissertation strikes both implications of the weak EMH that time series data (like the price) should have no informational value for future returns and assumptions of theoretical asset pricing models that (only) systematic risk (CAPM), future investment opportunities (ICAPM) or consumption risk (CCAPM) drives asset returns (universally).
Finally, yet importantly, I find evidence that even cultural characteristics in itself (measured via the cultural dimensions of Hofstede and others) have explanatory and predictive power for global, cross-sectional stock returns as well as characteristics-based (hedge) portfolio returns. By virtue of these contributions to pertinent financial research, this dissertation is an empirical primer for possible future fields of research culture-based/culture-neutral asset pricing, asset management, and asset allocation.
Schlagwörter
International Empirical Asset Pricing

; 

Cultural Finance

; 

Behavioral Finance

; 

Price Effect

; 

Capital Market Anomalies

; 

Market Efficiency

; 

Asset Management

; 

Investment Styles
Institution
Universität Bremen  
Fachbereich
Fachbereich 07: Wirtschaftswissenschaft (FB 07)  
Dokumenttyp
Dissertation
Zweitveröffentlichung
Nein
Lizenz
http://creativecommons.org/licenses/by-nc-nd/3.0/de/
Sprache
Englisch
Dateien
Lade...
Vorschaubild
Name

Essays on International Asset Pricing, Cultural Finance, and the Price Effect_Dissertation_Hammerich_2021.pdf

Description
Essays on International Asset Pricing, Cultural Finance, and the Price Effect. Dissertation, U. J. Hammerich, 2021
Size

2.62 MB

Format

Adobe PDF

Checksum

(MD5):023717fceda17824c56f3110ff44fa60

Built with DSpace-CRIS software - Extension maintained and optimized by 4Science

  • Datenschutzbestimmungen
  • Endnutzervereinbarung
  • Feedback schicken