Campus Tilburg University hoogleraren

PhD Defense Z. Niu

Date: Time: 13:30 Location: Aula

Essays in Empirical Asset Pricing and International Finance

The thesis consists of three chapters. The first chapter provides a mispricing explanation for the risk-return relationship on days with and without macroeconomic news announcements. It demonstrates the importance of investor belief dispersion and short-selling constraints in shaping the security market line on those two types of days. The second chapter utilizes a large international sample and studies the firm and country characteristics that determine stock return exposures to periods of market stress. The third chapter use tick-by-tick data of benchmark stock index and government bond futures and identify and characterize occurrences of flights-to-safety at high frequency across 10 countries over the last 20 years.

Zilong Niu (China, 1989) received his B.Sc. in Economics from Southwestern University of Finance and Economics, and his M.Sc. in Finance from Central University of Finance and Economics. After finishing a research master’s degree, he became a Ph.D. candidate in Finance at Tilburg University at September 2015. He will join the Institution of Financial Studies at Southwestern University of Finance and Economics as an Assistant Professor in Finance.

  • Location: Cobbenhagen building, Aula (access via Koopmans building)
  • Supervisor: Prof. F.C.J.M. de Jong
  • Co-supervisor: Dr. L.T.M. Baele