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LUND UNIVERSITY LIBRARIES

Pricing power and time-variation of global factor proxies

Malik, Usama LU (2020) NEKN02 20201
Department of Economics
Abstract
The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U.S. T-bond and 3-month U.S. T-bill, and change in spread between Baa and Aaa rated bonds; and ascertain whether they have marginal pricing and time-variation and what their impact is on integration. For these purposes, I use the Generalized Method of Moments approach to estimate the pricing power and impact of these variables on the Stochastic Discount Factor/Pricing Kernel.
The results show that during periods of non-crisis, all four variables have... (More)
The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U.S. T-bond and 3-month U.S. T-bill, and change in spread between Baa and Aaa rated bonds; and ascertain whether they have marginal pricing and time-variation and what their impact is on integration. For these purposes, I use the Generalized Method of Moments approach to estimate the pricing power and impact of these variables on the Stochastic Discount Factor/Pricing Kernel.
The results show that during periods of non-crisis, all four variables have pricing power, whereas during periods of major crisis change in the Eurodollar rate does not have pricing power. Moreover, the pricing power of the change in Eurodollar rate and change in spread between 10-year U.S. T-bond and 3-month U.S. T-bill rates is time-varying and shows an increasing trend. (Less)
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author
Malik, Usama LU
supervisor
organization
course
NEKN02 20201
year
type
H1 - Master's Degree (One Year)
subject
keywords
international asset pricing, financial integration, Stochastic Discount Factor, pricing power, time-variation
language
English
id
9029127
date added to LUP
2021-03-16 15:11:36
date last changed
2021-03-16 15:11:36
@misc{9029127,
  abstract     = {{The marginal pricing power and individual impact of proxies used in international asset pricing and financial integration studies is not well researched. In this study I look at the most widely used proxies; i.e. World Index Return, change in Eurodollar rate, change in spread between 10-year U.S. T-bond and 3-month U.S. T-bill, and change in spread between Baa and Aaa rated bonds; and ascertain whether they have marginal pricing and time-variation and what their impact is on integration. For these purposes, I use the Generalized Method of Moments approach to estimate the pricing power and impact of these variables on the Stochastic Discount Factor/Pricing Kernel.
The results show that during periods of non-crisis, all four variables have pricing power, whereas during periods of major crisis change in the Eurodollar rate does not have pricing power. Moreover, the pricing power of the change in Eurodollar rate and change in spread between 10-year U.S. T-bond and 3-month U.S. T-bill rates is time-varying and shows an increasing trend.}},
  author       = {{Malik, Usama}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Pricing power and time-variation of global factor proxies}},
  year         = {{2020}},
}