Date of Award
Summer 8-2015
Degree Type
Dissertation-Restricted
Degree Name
Ph.D.
Degree Program
Financial Economics
Department
Economics and Finance
Major Professor
Neal C. Maroney
Second Advisor
Tarun Mukherjee
Third Advisor
Atsuyuki Naka
Fourth Advisor
Mohammad Kabir Hassan
Fifth Advisor
Peihwang Wei
Abstract
This dissertation consists of two essays. First essay investigates the implications of researcher data requirement on the risk-adjusted returns of firms. Using the monthly CRSP data from 1925 to 2013, we present evidence that firms which survive longer have higher average returns and lower standard deviation of annualized returns than the firms which do not. I further demonstrate that there is a positive relation between firms’ survival and average performance. In order to account for the positive correlation between survival and average performance, I model the relation of survival and pricing errors using a Farlie-Gumbel-Morgenstern joint distribution function and fit resulting the moment conditions to the data. Our results show that even a low correlation between firm survival time and pricing errors can lead to a much higher correlation between the survival time and average pricing errors. Failure to adjust for this data selection biases can result in over/under estimates of abnormal returns by 5.73 % in studies that require at least five years of returns data.
Second essay examines diversification benefits of commodity futures portfolios in the light of the rapid increase in investor participation in commodity futures market since 2000. Many actively managed portfolios outperform traditional buy and hold portfolios for the sample period from January, 1986 to October, 2013. The evidence documented through traditional intersection test and stochastic discount factor based spanning test indicates that financializaiton has reduced segmentation of commodity market with equity and bond market and has increased the riskiness of investing in commodity futures markets. However, diversifying property of commodity portfolios have not disappeared despite the increased correlation between commodity portfolios returns and equity index returns.
Recommended Citation
Adhikari, Ramesh, "Two Essays in Finance: “Selection Biases and Long-run Abnormal Returns” And “The Impact of Financialization on the Benefits of Incorporating Commodity Futures in Actively Managed Portfolios”" (2015). University of New Orleans Theses and Dissertations. 2050.
https://scholarworks.uno.edu/td/2050
Rights
The University of New Orleans and its agents retain the non-exclusive license to archive and make accessible this dissertation or thesis in whole or in part in all forms of media, now or hereafter known. The author retains all other ownership rights to the copyright of the thesis or dissertation.