Essays on Empirical Asset Pricing

This dissertation examines three research questions on empirical asset pricing.

This dissertation examines three research questions on empirical asset pricing. First, I study the relation between 39 firm-level characteristics and stock returns in 40 non-U.S. countries using instrumented principal components analysis (IPCA). Second, I study how upstreamness and downstreamness affect stock returns in global value chains. Up- and downstreamness are computed at the industry level from world input-output tables that contain data on global inter-industry trade flows as well as final consumption and primary inputs. Finally, I compare the performance of three enhanced momentum strategies proposed in the literature using data for individual stocks from the U.S. and across 48 international countries.

Autorentext
Doktorand am Lehrstuhl für Finanzmanagement und Kapitalmärkte der Technischen Universität München