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Hybrid PHD Defense - Essays in Financial Economics – Maksim NEZHELSKII

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Speaker: Maksim NEZHELSKII
Event date: Wednesday, 30 November 2022 10:00 am - 12:00 pm
Place: Kirchberg, Central building, Room D17 (next to the students lounge)

Supervisor: Prof. Dr Christos KOULOVATIANOS, University of Luxembourg
Title: Essays in Financial Economics
Date: 30 November, 10h00
Venue: Kirchberg Campus, room D17

The defense will be organized in hybrid format, Webex link's below.

Maksim’s thesis abstract

This thesis consists of three main chapters, which study different topics of financial economics.

In the first chapter we build heterogeneous-agent model in continuous time with endogenous portfolio choice to test if risk-taking of the wealthy can explain the thick upper tail of wealth distribution for the US data. We find that asset holdings play an important role in the increased inequality, especially when accompanied by non-normal income process.

In the chapter 2 we model how the economy of Luxembourg responed to the Covid-19 shock with respect to the housing market. We assume that the income shock was asymmetric: more social professions were affected in a more adverse manner by the lockdowns, experiencing severe income losses. Our general results are that the mortgage market in Luxembourg is resilient. Yet, our model raises alert for some vulnerable households and provides a tool for policy evaluation of asymmetric shocks in the future.

The chapter 3 is an empirical paper on Post-Earnings Announcement Drift (PEAD), where we propose new measure of surprise information that aggregates different signals coming together with earnings reports, complementing the standard earnings-surprise measure of PEAD. In dynamic portfolios, weekly returns to PEAD increase by 72 basis points, if more financial metrics are taken into account, compared to the standard approach. Similarly, with analysis of textual metrics we demonstrate that changes in the text are associated with the longer drift.