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dc.contributor.authorAndrlikova, Petra
dc.date.accessioned2019-07-12
dc.date.available2019-07-12
dc.date.issued2019-01-29
dc.identifier.urihttp://hdl.handle.net/2123/20716
dc.description.abstractThe benefits of diversification decrease substantially during market downturns due to asymmetric dependence between stock and market returns. Not all assets are affected in the same way. This thesis provides a substantial evidence of the cross-sectional variation in asymmetric dependence between equity returns and market returns across the 38 largest financial markets and a variety of asset classes. I document that asymmetric dependence between stock returns and market returns is significantly priced in international equity returns. Of all the commonly considered factors, asymmetric dependence is the only factor that is priced in all 38 markets examined. Internationally, investors require additional compensation to hold assets displaying asymmetric dependence. Notably, the degree of asymmetric dependence increases faster in countries experiencing stronger growth in their financial markets. This thesis supports recognition of asymmetric dependence as a risk factor that has significant implications for, inter alia, asset pricing, cost of capital, and performance evaluation. Moreover, I build a general equilibrium model to identify important drivers of the cross-sectional variation in asymmetric dependence. I show that stocks with a high level of fundamental cash-flow risk exhibit a large amount of time variation in conditional betas and a relatively higher degree of the cross- sectional asymmetric dependence. The asymmetric effects of heterogeneous cash-flow risk on the cross section of return dependence are driven by preference shocks correlated with the business cycle. The model predictions are confirmed by US industry data.en_AU
dc.publisherUniversity of Sydneyen_AU
dc.publisherSydney Business Schoolen_AU
dc.publisherDiscipline of Financeen_AU
dc.rightsThe author retains copyright of this thesis. It may only be used for the purposes of research and study. It must not be used for any other purposes and may not be transmitted or shared with others without prior permission.en_AU
dc.subjectasymmetric dependenceen_AU
dc.subjectconditional risk measuresen_AU
dc.subjectasset pricingen_AU
dc.subjectpreference shocksen_AU
dc.titleOn the cross-sectional asymmetric dependence between investment returnsen_AU
dc.typePhD Doctorateen_AU
dc.type.pubtypeDoctor of Philosophy Ph.D.en_AU


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