Campus Tilburg University hoogleraren

PhD Defense M. Maletic

Date: Time: 10:00 Location: Portraits room

Essays on international finance and empirical asset pricing

The Ph.D. dissertation consists of three chapters. The first chapter is investigating the impact of the Chinese economy on the term structure of interest rates in Germany and the United States through the lenses of the traditional asset pricing models. In the post financial crisis environment with low growth and inflation, and the monetary policy, which is constrained by the effective lower bound, investors are willing to accept lower compensation for holding nominal long-term bonds instead of short-term securities when the outlook about the Chinese economy deteriorates.

The second chapter is investigating how the accumulation of the Chinese foreign reserves is affecting the US yield curve thorough the lenses of the modern portfolio-balance models. It is found that when the Chinese official sector rebalances away from the US Dollar, it lowers, in a way similar to the deteriorating outlook about the Chinese economy, the term premium of long-term bonds.

The third chapter is investigating how R&D investments and past returns interact in explaining future returns. Firms, which are reluctant to cut the level of R&D expenditures despite the poor past performance, are rewarded with higher subsequent returns. On the other hand, only firms that have demonstrated their ability to make good investment decisions, and therefore exerted positive price performance over the last year, are rewarded with higher future returns when they increase the R&D.

Matjaz Maletic (Ljubljana, Slovenia, 1985) received his Bachelor’s degree in Finance in 2007 and a Master’s degree in 2011 from the Faculty of Economics, University of Ljubljana. In 2008, he started his career as a research analyst. He became a portfolio manager two years later. In 2012, he joined NorthGrant where he worked as a senior consultant. In 2015, he obtained Research Master’s degree in Finance and became a Ph.D. candidate at Tilburg University. Today, Matjaz is working as a researcher at the Bank of Slovenia.

  • Location: Cobbenhagen building, Portraits room (access via Koopmans building)
  • Supervisor: Prof. B. Melenberg
  • Co-supervisor: Dr. L.T.M. Baele