Finance - Theses
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ItemTechnology shocks, capital reallocation frictions and the cross-section of stock returns( 2016)I study the cross-sectional return implications of technology shocks through the channel of capital reallocation. I present a model in which capital reallocation frictions limit the ability of non-innovating firms to redeploy assets when facing technology shocks and force them to hold unproductive capital. As a result, the values of non-innovating firms depreciate more when reallocation frictions are higher. The frictions also amplify firms' risk exposure to technology shocks and hence the risk premium by altering consumption dynamics. Empirically, I find that the stock prices of non-innovating firms respond more negatively to technology shocks in industries with lower asset liquidity, while innovating firms' responses to technology shocks do not vary with the degree of asset liquidity in their industry. The results shed light on the role of capital reallocation in the creative destruction process and its asset pricing implications.
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ItemEssays in international macro-finance( 2015)I present three essays in international macro-finance. The first is a selective survey of crises and contagion that identifies the competing explanations for the transmission of shocks through and across economies. The second essay tests several fundamental and financial transmission links within a Global Vector Autoregression (GVAR) and finds strong evidence that financial links best explain the spread of shocks. Finally, I revisit the international intertemporal Capital Asset Pricing Model (CAPM), which puts restrictions on acceptable factors. I find the theoretical model's prescribed factors, based on exchange rate and inflation risks, outperform the Fama French Four Factor model on country return portfolios.