Publication Date

2025

Document Type

Dissertation/Thesis

First Advisor

Anderson, Evan

Second Advisor

Cheng, Ai-ru

Degree Name

Ph.D. (Doctor of Philosophy)

Legacy Department

Department of Economics

Abstract

This dissertation explores whether alternative economic and financial factors serve as risk factors in asset pricing. It consists of three essays that examine policy uncertainty, macroeconomic expectations, and accounting-based factors in asset pricing models. The first essay studies the shocks in U.S. Economic Policy Uncertainty (EPU) index and its categorical indices. Shocks in monetary policy uncertainty and sovereign debt/currency crisis policy uncertainty significantly price assets and earn significant premiums. The second essay distinguishes expected (ex-ante) and realized (ex-post) macroeconomic factors using a state space model via Kalman filter. Ex-ante economic activity are significantly priced along with ex-post size, ex-post and ex-ante book-to-market factors. The third essay revisits the earnings-to-price (EP) factor constructed from daily portfolios. EP has a significant relationship with SDF and yields a significant risk premium beyond Fama-French 5 factors (FF5F). Together, these findings broaden the scope of empirical asset pricing by demonstrating that uncertainty, macroeconomic expectations, and accounting-based factors complement traditional models.

Extent

144 pages

Language

en

Publisher

Northern Illinois University

Rights Statement

In Copyright

Rights Statement 2

NIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.

Media Type

Text

Download

Included in

Economics Commons

Share

COinS