This dissertation consists of three essays that shed light on two aspects of empirical asset pricing. The first chapter replicates and extends the cross-asset time series momentum (XTSM) strategy of Pitkäjärvi et al. (2020), evaluating the robustness of diversified XTSM portfolio anomalies and testing the validity of unique alpha constraints. Chapter 2, Capturing Time-Varying Cross-Asset Return Predictability: A Multi-Asset Momentum Strategy with Dynamic Trading Signals, documents time-varying predictability in bond, equity, and currency returns and develops a dynamic trading approach that effectively translates return forecasts into economic gains by allowing investors to adjust their trading positions in real time in response to changing business cycles. Applied to the three assets data, the resulting multi-asset time series dynamic momentum strategy (MXTSM) generates superior abnormal returns that are not explained by time-varying aggregate market behavior (Goyal & Jegadeesh, 2018), while encompassing traditional time series momentum (Moskowitz et al., 2012) and remaining distinct from cross-sectional momentum (Jegadeesh & Titman, 1993). Chapter 3, Deviations from Covered Interest Parity, Dollar Funding Pressure and Currency Risk Premia, investigates the relationship between deviations from Covered Interest Rate Parity (CIP) condition and the crosssectional variation in currency risk premia. Motivated by the currency hedging channel proposed by Liao & Zhang (2025), this chapter interprets the CIP violations as a measure of postcrisis dollar funding pressure, reflecting imbalances between excessive dollar hedging demand and constrained funding supply. It shows that currencies with higher cross-currency basis values earn significantly higher excess returns, consistent with compensation for bearing dollar funding risk. A tradable global cross-currency basis factor delivers economically large and statistically significant returns, explaining a substantial portion of cross-sectional variation in currency returns and outperforming standard risk factors. Furthermore, the basis factor subsumes information embedded in nominal interest differentials (carry trade) and global trade and capital flow imbalances. This study contributes to the international asset pricing literature by investigating the empirical relationship between CIP violations and FX risk premia.
Three Essays in Empirical Asset Pricing
Wang, Y. (Author). 20 Jan 2026
Student thesis: Doctoral Thesis › Doctor of Philosophy (PhD)