Essays on Asset Pricing
On Friday 24 September 2021 Stig Roar Haukø Lundeby will hold a trial lecture on a prescribed topic and defend his thesis for the PhD degree at NHH.
Prescribed topic for the trial lecture:
«Asset Pricing with Financial Intermediation»
Trial lecture:
10:15 at NHH AUD N / Zoom video conference
Title of the thesis:
«Essays on Asset Pricing»
Summary:
This dissertation deals with two main topics within asset pricing: (1) the effect of incorporating multiple investment horizons in evaluating models, and (2) how fiscal and monetary policy affects the relationship between risk and return in the stock market.
The first paper develops a new statistical test that explicitly incorporates a multi-horizon perspective. In an empirical application it shows that the proposed test rejects most state-of-the-art models proposed in the literature.
The second paper views counter-cyclical fiscal and monetary policy as a partial insurance of the stock market. The insurance is a “negative beta” asset that pays off when times are bad, thus earning negative risk premium. In risky times, the value of insurance goes up and thereby lowers the overall expected return on the stock market. Therefore, fiscal and monetary policy may cause the weak risk-return relationship observed in asset markets.
In the final paper, Lundeby revisits the multi-horizon setting and ask the question “given that all models are wrong, which model is closer to the truth?”. To answer the question, the candidate proposes an economic measure of model mis-specification in a multi-horizon setting. He shows the measure is closely related to the utility loss of an investor who uses a mis-specified model.
Furthermore, he shows that unless the measure is 0, there is a “passive” trading strategy that improves the investor’s utility.
Defense:
12:15 NHH AUD N / Zoom video conference
Members of the evaluation committee:
Associate Professor Jørgen Haug (leader), Department of Finance, NHH
Professor Francisco Gomes, London Business School
Associate Professor Irina Zviadadze, HEC Paris
Supervisors:
Associate Professor Tommy Stamland (main supervisor), Department of Finance, NHH
Associate Professor Lars Løchstøer, University of California, Los Angeles
The trial lecture and thesis defence will be open to the public.