Empirical Studies on Financial Markets: Private Equity, Corporate Bonds and Emerging Markets
Empirische bevindingen in financiële markten: durfkapitaal, bedrijfsobligaties en opkomende markten
This dissertation consists of five empirical studies on financial markets. Each study can be read independently and covers a specific market, either private equity, corporate bonds or emerging markets. The first study documents that risk factors cannot account for the significant excess returns of selection strategies based on value, momentum or earnings revisions indicators in the emerging equity market. The second study presents empirical evidence that security analysts do not efficiently use publicly available macroeconomic information in their earnings forecasts for emerging markets’ companies. The third study focuses on the emerging currency market and shows that a combination of macroeconomic variables and technical trading rules can be exploited to implement profitable trading strategies. Combining these two types of information improves the risk-adjusted performance. In the study on the corporate bond market we document that common risk factors do a good job in explaining the cross-section of returns on corporate bond portfolios with medium to long maturity, but significantly underestimate the returns on corporate bonds with a short maturity. Comparable evidence of a short-term corporate bond anomaly also shows up in portfolios of corporate bond mutual funds. In the last study we set out a commitment strategy that allows an investor in private equity to maintain a constant portfolio allocation to private equity given the uncertain nature of future cash flows and the limited liquidity.
|Keywords||analysts' earnings forecasts, anomaly, asset pricing, commitment strategy, corporate bonds, emerging markets, foreign exchange rates, heterogeneous agents, macroeconomic forecasts, private equity, stock selection, technical trading|
|Promotor||D.J.C. van Dijk (Dick) , M.J.C.M. Verbeek (Marno)|
|Publisher||Erasmus University Rotterdam , Erasmus Research Institute of Management (ERIM)|
|Sponsor||Rotterdam School of Management, Erasmus University|
de Zwart, G.J. (2008, June 26). Empirical Studies on Financial Markets: Private Equity, Corporate Bonds and Emerging Markets (No. EPS-2008-131-F&A). ERIM Ph.D. Series Research in Management. Erasmus Research Institute of Management (ERIM). Retrieved from http://hdl.handle.net/1765/12703