ASU Electronic Theses and Dissertations
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This paper studies the dynamic relationship between the pricing of Alternative Asset Management products and macroeconomic variables. It does so using an index of Alternative Asset Management products, employing a VAR framework and examining the implied impulse response functions. I find a bivariate causal relation between the expected rate of return on Alternative Asset Management products and the growth rate of industrial value added. I also find that the CPI, the yield on one-year national debt, the weighted average yield of bond repurchases in interbank bond market, and the one-year loan interest rate can influence the expected return rate of …
- Huang, Jianxian, Wahal, Sunil, Chang, Chun, et al.
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