DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Kang, Jangkoo | - |
dc.contributor.advisor | 강장구 | - |
dc.contributor.author | Yun, Jaesun | - |
dc.date.accessioned | 2021-05-12T19:46:27Z | - |
dc.date.available | 2021-05-12T19:46:27Z | - |
dc.date.issued | 2020 | - |
dc.identifier.uri | http://library.kaist.ac.kr/search/detail/view.do?bibCtrlNo=926358&flag=dissertation | en_US |
dc.identifier.uri | http://hdl.handle.net/10203/284501 | - |
dc.description | 학위논문(박사) - 한국과학기술원 : 경영공학부, 2020.8,[iii, 77 p. :] | - |
dc.description.abstract | This dissertation consists of three essays on momentum in alternative asset markets. The first essay examines profitability of commodity futures momentum strategies across different ranking periods on a weekly basis. Our results show that weekly momentum is the strongest and most robust in the commodity futures market. We suggest that the relation between commodity momentum and speculative activity as a possible driver of momentum. The second essay investigates the cross-sectional housing momentum and its predictability for the future macroeconomic outputs and the future stock markets. We find that the cross-sectional housing momentum profits negatively predict future industrial production growth and future GDP growth. Furthermore, the housing momentum returns negatively predict aggregate stock returns, and positively predict aggregate stock variance. We suggest that the household credit expansion is the possible source of the negative predictability. The third essay examines the pricing implication of housing momentum in the US equity markets. We find that equity portfolios that positively correlate with housing momentum factor yield lower returns than equity portfolios that negatively correlate with housing momentum factor. We propose that the housing momentum factor captures risk associated with the time-preference shock. The excessive borrowing induces agents to be patient, to weigh more on the future cash flows and to invest in the long-term risky assets. Thus, the changes in household credit are important source of time-preference shock and the portfolio that positively correlates with the housing momentum factor provides hedging against the risk involved with the time-preference discount rate. | - |
dc.language | eng | - |
dc.publisher | 한국과학기술원 | - |
dc.subject | commodity futures▼ahousing market▼amomentum▼ahousehold debt▼atime-preference | - |
dc.subject | 상품선물▼a주택시장▼a모멘텀▼a가계대출▼a시간선호 | - |
dc.title | Essays on alternative investments | - |
dc.title.alternative | 대체투자에 대한 연구 | - |
dc.type | Thesis(Ph.D) | - |
dc.identifier.CNRN | 325007 | - |
dc.description.department | 한국과학기술원 :경영공학부, | - |
dc.contributor.alternativeauthor | 윤재선 | - |
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