Aktiviteter pr. år
Empirical Asset Pricing, Financial Economics, Empirical Finance.
Thiago's main research field is Empirical Asset Pricing. The distinguishing feature in Thiago's research is his focus on understanding the links between the cross-sectional and time-series variations in asset returns. The present focus of Thiago's research is to investigate how and why the size premium varies over time.
For instance, in Discount rates, market frictions, and the mystery of the size premium, Thiago determines the conditional structure of the size premium. He shows that the CAPM anomaly known as the size premium only exists in very particular years, when the aggregate book-to-market is very high. The paper shows that only in high book-to-market years (less than 10% of the time in the United States), there is statistical evidence of a size premium at a 95% level. The premium is statistically insignificant in all the other years.
In Conditional multifactor explanations of asset pricing anomalies, he applies the findings in the paper above to derive a conditional version of the Fama/French multifactor model. This conditional version is finally able to explain the cross-sectional difference in returns on portfolios formed on size. The original Fama/French model is rejected by the GRS test in explaining the returns on size-portfolios. In addition, the new conditional version of the model performs at least as well as the original Fama/French model explaining several other cross-sectional differences.
Thiago also has a few other working papers investigating the downward trend in the aggregate book-to-market over time, and investigating whether the size premium arises as a compensation for risk or if it is related to a size characteristics.
In his early research, Thiago was also interested in understanding how the agents optimally choose their investment strategies as in Strategic asset allocation with heterogeneous beliefs for instance.
- Prisfastsættelse af finansielle aktiver
Aktivitet: Foredrag og mundtlige bidrag › Konferenceoplæg
Financial Investments and Corporate Finance (supplementing course for MSc Economics and Business Administration)
|Thiago de Oliveira Souza|
01/09/2016 → 31/01/2017