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EMPIRICAL INVESTIGATIONS INTO SYSTEMIC RISK, ECONOMIC GROWTH AND INTERDEPENDENCE OF FACTORS IN FAMA-FRENCH FIVE FACTOR ASSET PRICING MODEL

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Title:EMPIRICAL INVESTIGATIONS INTO SYSTEMIC RISK, ECONOMIC GROWTH AND INTERDEPENDENCE OF FACTORS IN FAMA-FRENCH FIVE FACTOR ASSET PRICING MODEL
Authors:Ivanets, Oleg
Contributors:Love, Inessa (advisor)
Gangnes, Byron (advisor)
Economics (department)
Keywords:Economics
Finance
Economic growth
Fama-French
Financial markets
show 2 moreFinancial stability
Systemic risk
show less
Date Issued:Dec 2018
Publisher:University of Hawaiʻi at Mānoa
Abstract:This dissertation consists of three chapters all of which are empirical investigations of various aspects of the financial markets aimed on developing practical recommendations for investors, regulators and other market participants to improve risk and return characteristics of their portfolios.
In Chapter 1 analysis of the interdependence of the factors in the Fama-French five-factor asset pricing model is presented. The model posts various challenges for its application as it is qualitatively different from the two currently used models: Fama-French three-factor model and CAPM. One of these challenges is interdependence of the factors. I applied panel vector autoregression methodology to address this issue. The analysis revealed number of important results that offer valuable insights for the investors who are using Fama-French five-factor asset pricing model for their portfolio formation.
Chapter 2 is dedicated to the analysis of the systemic risk based on Minsky’s financial instability hypothesis (Minsky, 1992). Among a great variety of ideas regarding financial system stability, the “Financial instability hypothesis” gained significant popularity after the Global Financial Crisis because it was able to explain the nature of the crisis way before it. Although Minsky’s work provides a detailed conceptual description of the reasons for instability of the financial system, it does not offer an applied system of measures that would signal about the potential crisis. This Chapter aims to close this gap by providing such a measure – Systemic Risk Index (SRI).
In Chapter 3 is an empirical investigation of a popular topic of macroeconomic impact of the financial markets. The Global Financial Crisis (2008) triggered a new wave of research on the topic (Jacobs and Mazzucato, 2016; Foroohar, 2016; Stiglitz, 2012; Stiglitz, 2016; Turner, 2015a; Turner, 2015b) suggesting that the structural changes that took place in the financial system in the late 1980s and early 1990s have fundamentally changed the impact the financial system has on the overall economy. The aim of this Chapter is to empirically test if the relationship between financial system capital and economic growth changed in the US in the last three decades.
Description:Ph.D. Thesis. University of Hawaiʻi at Mānoa 2018.
Pages/Duration:128 pages
URI:http://hdl.handle.net/10125/62332
Rights:All UHM dissertations and theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission from the copyright owner.
Appears in Collections: Ph.D. - Economics


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