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http://hdl.handle.net/11375/31577| Title: | Essays on Return Predictability and Asset Pricing |
| Authors: | Wilson, Eric |
| Advisor: | Balvers, Ron Qiu, Jiaping |
| Department: | Finance |
| Keywords: | Hedge Funds, Skill, Edge, Weak Latent Factors, VIX Futures, Certainty Equivalent, Equity Premium, Prediction, Regularization, Return Predictability, Stochastic Discount Factor, Test Assets, Arbitrage, Stock Returns, Variances, Factor Structure |
| Publication Date: | 2025 |
| Abstract: | This dissertation is comprised of three papers I have written during my Ph.D. thesis. Chapter 1 is my job market paper titled "Hedge Funds With(out) Edge: A New Measure of Hedge Fund Manager Skill." Chapter 2 is titled "The Value of Economic Regularization for Stock Return Predictability," and is joint work with Yoontae Jeon and Laleh Samarbakhsh. It has been awarded the Best Paper Prize at the 16th Annual Society for Financial Econometrics (SoFiE) Meeting (Pre-Conference for Early-Career Scholars) 2024/06. Lastly, Chapter 3 is titled "What is the Implied Upper Bound of the Stochastic Discount Factor?" |
| URI: | http://hdl.handle.net/11375/31577 |
| Appears in Collections: | Open Access Dissertations and Theses |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Wilson_Eric_J_finalsubmission202504_PhD.pdf | 3.51 MB | Adobe PDF | View/Open |
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