The role of European financial intermediaries in asset pricing

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dc.contributor.advisor Colonnello, Stefano it_IT
dc.contributor.author Monteleone, Giuseppina <1999> it_IT
dc.date.accessioned 2023-06-14 it_IT
dc.date.accessioned 2023-11-08T14:55:59Z
dc.date.issued 2023-07-10 it_IT
dc.identifier.uri http://hdl.handle.net/10579/24317
dc.description.abstract The field of asset pricing has experienced new developments that have questioned the validity of early asset pricing models based on the marginal investor’s perspective. Recently, the literature has been focusing on investment-based asset pricing models, using proxies for the marginal value of wealth of the financial intermediary as Stochastic Discount Factor. I empirically tested a single-factor model based on the leverage of European financial intermediaries on a cross-section of European portfolios, finding a positive and significant price of risk and a good performance in terms of R^2, although not as good as the standard asset pricing models, used as benchmarks. it_IT
dc.language.iso en it_IT
dc.publisher Università Ca' Foscari Venezia it_IT
dc.rights © Giuseppina Monteleone, 2023 it_IT
dc.title The role of European financial intermediaries in asset pricing it_IT
dc.title.alternative The role of European financial intermediaries in asset pricing it_IT
dc.type Master's Degree Thesis it_IT
dc.degree.name Economia e finanza it_IT
dc.degree.level Laurea magistrale it_IT
dc.degree.grantor Dipartimento di Economia it_IT
dc.description.academicyear 2022/2023_sessione estiva_10-luglio-23 it_IT
dc.rights.accessrights closedAccess it_IT
dc.thesis.matricno 892125 it_IT
dc.subject.miur SECS-P/11 ECONOMIA DEGLI INTERMEDIARI FINANZIARI it_IT
dc.description.note The field of asset pricing has experienced new developments that have questioned the validity of early asset pricing models based on the marginal investor’s perspective. Recently, the literature has been focusing on investment-based asset pricing models, using proxies for the marginal value of wealth of the financial intermediary as Stochastic Discount Factor. I empirically tested a single-factor model based on the leverage of European financial intermediaries on a cross-section of European portfolios, finding a positive and significant price of risk and a good performance in terms of R^2, although not as good as the standard asset pricing models, used as benchmarks. it_IT
dc.degree.discipline it_IT
dc.contributor.co-advisor it_IT
dc.date.embargoend 10000-01-01
dc.provenance.upload Giuseppina Monteleone (892125@stud.unive.it), 2023-06-14 it_IT
dc.provenance.plagiarycheck None it_IT


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