Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 9 of 9 for “"consumption-based asset pricing"”.
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Three Essays on Money and Asset Pricing
This thesis consists of three essays on money and asset pricing. In the first essay, I study the determination of price variables in a model economy where the use of money is motivated by the Cash-in-Advance constraint. I analyze the standard equilibrium conditions from the Cash-in-Advance model in …
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Three essays on asset pricing studies
Traditional consumption-based asset pricing models generally treat the aggregate stock market as a claim to aggregate consumption. However, according to empirical evidence, the majority of households consume primary out of wages and live with no capital gains from risky investments, this implies …
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Essays in empirical asset pricing and portfolio construction
… thesis is predictability and how it relates to asset pricing and portfolio construction. Chapter 1, co-authored with Oliver Linton, tests for predictability in asset pricing model residuals to check model specification. We estimate three consumption-based asset pricing models and derive ex-ante …
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Essays on finance, learning, and macroeconomics
… whether learning can explain why the standard consumption-based asset pricing model produces large pricing errors for U.S. equity returns. I prove that under learning standard moment conditions need not hold in finite samples, leading to pricing errors. Simulations show that learning can …
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Essays on Asset Pricing and Downside Risk
… on the relation between downside risk and asset prices. In chapter one, we use a famous quote among professional investors, "focus on the downside, and the upside will take care of itself", to motivate a representative consumer-investor who only cares about the downside. The …
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Essays on Macroeconomic Shocks and the Business Cycle
… of expected macroeconomic risk. Comparing the asset pricing performance of the different measures, I find that skewness in the expected distribution is strongly priced in the time series and cross section of returns. Stronger downside risks to future economic growth predict higher future excess …
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Essays in Asset Pricing
<p>This dissertation consists of three essays in asset pricing with the common theme of return predictability.</p> <p><strong>Chapter 1:</strong> This chapter introduces the motivation, results, and structure of the dissertation.</p> <p><strong>Chapter 2:</strong> I examine the relation between the …
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What About Short Run?
… premium puzzle is resolved by many competing consumption-based asset pricing models. However, before \cite{btz:vrp:rfs}, the return predictability as an outcome of such models has limited empirical support in the short-run. Nowadays, there has been a consensus of the literature that the …
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Essays on Nonparametric Estimation of Asset Pricing Models
… reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of …