Document Type



Doctor of Philosophy (PhD)


Business Administration

First Advisor's Name

Xiaoquan Jiang

First Advisor's Committee Title

Committee Chair

Second Advisor's Name

Mustafa O. Caglayan

Second Advisor's Committee Title

Committee Member

Third Advisor's Name

Sandrine Docgne

Third Advisor's Committee Title

Committee Member

Fourth Advisor's Name

Edward R. Lawrence

Fourth Advisor's Committee Title

Committee Member

Fifth Advisor's Name

Minye Tang

Fifth Advisor's Committee Title

Committee Member


Empirical Asset Pricing, Value Investing, Quality Investing, Individualism, Volatility Risk

Date of Defense



This dissertation consists of three essays that focus on the topics related to Asset Pricing. The first essay proposes a regression-based approach to identify the quality-cheapness (QC) investing strategy with quality as a priority and the cheapness-quality (CQ) investing strategy with cheapness as a priority. Empirical results show that QCstrategy outperforms traditional quality investing strategy, and CQ strategy outperforms value investing strategy based on the market-to-book ratio. QC strategy and CQ strategy perform almost equally well in terms of return spreads, but they have different risk exposures, suggesting different sources of return spreads and potential synergy. Further analysis shows that the future investment growth opportunity, time-varying risk, uncertainty, and sentiment all play a partial role in explaining the return spreads in QC strategy and CQ strategy.

The second essay examines how cultural traits and institutional quality affects quality and value investing return premiums in an international environment. We use Hofstede's individualism index and International Country Risk Guide's political risk index to measure the extent of a country's overconfidence level and environmental stability. Our empirical analysis suggests that countries with higher individualism scores generally have a higher quality premium and lower value premium than countries with lower individualism scores. Besides, countries with higher political risk would have higher value premiums, while the difference in quality premium is insignificant between high and low political risk countries. However, the effect of institutional quality is weakened when we take both individualism and political risk into consideration.

The third essay studies the relationship between quality premium and volatility risk. Our empirical analysis suggests that firms' qualities are positively related to the volatility risk, and the quality premium has different performance across different levels of volatility risk. The effect of volatility risk would be different on high-quality and low-quality firms. The results highlight the importance of volatility risk in explaining the source of quality premium.



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