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A relação entre índice de sentimento de mercado e as taxas de retorno das ações: uma análise com dados em painel; The relationship between market sentiment index and stock returns: a panel data analysis

Yoshinaga, Claudia Emiko
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 09/12/2009 Português
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Na teoria clássica de finanças, o sentimento do investidor não é considerado um fator importante sobre os preços das ações. Embora a existência do sentimento do investidor não seja negada, as teorias normalmente partem do princípio de que, em mercados financeiros competitivos, comportamentos de agentes quase-racionais são rapidamente eliminados. Esta tese tem o objetivo de investigar a relação entre o sentimento de mercado e as taxas de retorno futuras das ações. É proposta uma metodologia para a criação de um índice de sentimento específico para o mercado brasileiro com uso da análise de componentes principais. Com o objetivo de verificar a relação deste índice de sentimento com as taxas de retorno das ações, foi estimado um modelo de apreçamento em que esta variável foi incluída, para o período de 1999 a 2008. A amostra foi composta por empresas não-financeiras com ações listadas na BOVESPA, com uma negociabilidade mínima que garantisse observações suficientes e representativas para validar os resultados encontrados na pesquisa. O modelo de apreçamento foi estimado por GMM, levando em consideração o índice de sentimento de mercado, o risco sistêmico das empresas (medido pelo beta) e fatores como tamanho...

Ensaios em finanças quantitativas: apreçamento de derivativos multidimensionais via processos de Lévy, e topologia e propagação do risco sistêmico; Essays in quantitative finance: multidimensional derivative pricing via Lévy processes, and systemic risk topology na risk propagation

Santos, Edson Bastos e
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 24/03/2010 Português
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Este estudo contempla dois ensaios em finanças quantitativas, relacionados, respectivamente, a modelos de apreçamento e risco sistêmico. No Capitulo 1, e apresentado uma alternativa para modelar opções multidimensionais, cujas estruturas de ganhos e perdas dependam das trajetórias dos processos dos preços dos ativos objetos. A modelagem sugerida considera os processos de Levy, uma classe de processos estocásticos bastante ampla, que permite a existência de saltos (descontinuidades) no processo dos preços dos ativos financeiros, e tem como caso particular o movimento Browniano. Para escrever a dependência entre os processos, os conceitos estáticos de copulas ordinárias são estendidos para o contexto dos processos de Levy, levando em consideração a medida de Levy, que caracteriza o comportamento dos saltos. São realizados estudos comparativos entre as copulas dinâmicas de Clayton e de Frank, no apreçamento dos contratos derivativos do tipo asiático, utilizando-se processos gama e técnicas de simulação de Monte Carlo. No Capitulo 2, a estrutura e dinâmica interbancária das exposições mutuas entre as instituições financeiras no Brasil e explorada bem como o capital destas reservas, utilizando um conjunto de dados únicos que considera vários períodos entre 2007 e 2008. Para isto e mostrado que a rede de exposições pode ser modelada adequadamente como um gráfico estocástico dirigido de escala - livre (ponderada) seguindo distribuições que apresentam caudas grossas. A relação entre as conexões das instituições financeiras e seu colchão-de-capital também são investigados neste estudo. Finalmente...

A Stochastic discount factor approach to asset pricing using panel data asymptotics

Araújo, Fabio; Issler, João Victor
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
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Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the "common feature" in every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing preferences. The techniques discussed in this paper were applied to two relevant issues in macroeconomics and finance: the first asks what type of parametric preference- representation could be validated by asset-return data, and the second asks whether or not our SDF estimator can price returns in an out-of-sample forecasting exercise. In formal testing, we cannot reject standard preference specifications used in the macro/finance literature. Estimates of the relative risk-aversion coefficient are between 1 and 2, and statistically equal to unity. We also show that our SDF proxy can price reasonably well the returns of stocks with a higher capitalization level, whereas it shows some difficulty in pricing stocks with a lower level of capitalization.

Can output explain the predictability and volatility of stock returns?

Rodríguez López, Rosa; Restoy, Fernando; Peña Sánchez de Rivera, Juan Ignacio
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/publishedVersion; info:eu-repo/semantics/article Formato: application/pdf
Publicado em /04/2002 Português
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This paper examines whether a general equilibrium asset pricing model can explain two important empirical regularities of asset returns, extensively documented in the literature: (i) returns can be predicted by a set of macro variables, and (ii) returns are very volatile. We derive a closed-form solution for the equilibrium asset pricing model that relates asset returns to output by using an approximate method proposed by Campbell (Am. Econ. Rev. 83 (1993) 487) and Restoy and Weil (W.P. NBER, No. 6611 (1998)). We obtain evidence on eight OECD economies using both quarterly and annual observations. Equilibrium models seem to fin fewer difficultie in explaining the volatility of returns than their predictability for general output processes. In the case of the US, the observed predictability and volatility of asset returns, for annual frequencies, are broadly compatible with the predictions of equilibrium models for a reasonable

Analysis of multi-scale systemic risk in Brazil's financial market

Bortoluzzo,Adriana Bruscato; Minardi,Andrea Maria Accioly Fonseca; Passos,Bruno Caio Fernando
Fonte: Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo Publicador: Departamento de Administração da Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2014 Português
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This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However...

Expected Returns on Real Investments: Evidence from the Film Industry

Powers, Thomas
Fonte: Harvard University Publicador: Harvard University
Tipo: Research Paper or Report
Português
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Asset pricers generally study the pricing of secondary market securities. Using a proprietary, project-level dataset on the film industry, I am able to study a cross-section of expected returns on real investments instead. One area in which we might expect differences is in the pricing of idiosyncratic risk. I find that expected returns are both increasing and concave in the idiosyncratic dollar variance of a film's payoff. Plotting expected returns against dollar volatility yields an approximately linear relationship, in which a $1 MM increase in volatility raises expected return by at least 43 basis points, up to as much as 116 basis points depending on the specification. I discuss several theories from corporate finance that can rationalize the pricing of idiosyncratic risk, and I build a matching model between studios and films in which costly external finance can explain both facts.; Economics

On option pricing in illiquid markets with jumps

El-Khatib, Youssef; Hatemi-J, Abdulnasser
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 17/04/2013 Português
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One of the shortcomings of the Black and Scholes model on option pricing is the assumption that trading of the underlying asset does not affect the price of that asset. This assumption can be fulfilled only in perfectly liquid markets. Since most markets are illquid, this assumption might be too restrictive. Thus, taking into account the price impact in option pricing is an important issue. This issue has been dealt with, to some extent, for illiquid markets by assuming a continuous process, mainly based on the Brownian motion. However, the recent financial crisis and its effects on the global stock markets have propagated the urgent need for more realistic models where the stochastic process describing the price trajectories involves random jumps. Nonetheless, works related to markets with jumps are scant compared to the continuous ones. In addition, these previous studies do not deal with illiquid markets. The contribution of this paper is to tackle the pricing problem for options in illiquid markets with jumps as well as the hedging strategy within this context, which is the first of its kind to the best knowledge.

Modelling Information Flows in Financial Markets

Brody, Dorje C.; Hughston, Lane P.; Macrina, Andrea
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 27/04/2010 Português
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This paper presents an overview of information-based asset pricing. In this approach, an asset is defined by its cash-flow structure. The market is assumed to have access to "partial" information about future cash flows. Each cash flow is determined by a collection of independent market factors called X-factors. The market filtration is generated by a set of information processes, each of which carries information about one of the X-factors, and eventually reveals the X-factor. Each information process has two terms, one of which contains a "signal" about the associated X-factor, and the other of which represents "market noise". The price of an asset is given by the expectation of the discounted cash flows in the risk-neutral measure, conditional on the information provided by the market. When the market noise is modelled by a Brownian bridge one is able to construct explicit formulae for asset prices, as well as semi-analytic expressions for the prices and greeks of options and derivatives. In particular, option price data can be used to determine the information flow-rate parameters implicit in the definitions of the information processes. One consequence of the modelling framework is a specific scheme of stochastic volatility and correlation processes. Instead of imposing a volatility and correlation model upon the dynamics of a set of assets...

Pricing European Options in Realistic Markets

Schaden, Martin
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/10/2002 Português
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We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and other costs. We compute the risk-neutral probability density conditional on the total variance of the asset's returns when the option expires. If the asset's future price has finite expectation, the option's fair value satisfies a parabolic partial differential equation of the Black-Scholes type in which the variance of the asset's returns rather than a trading time is the evolution parameter. By immunizing the portfolio against large-scale price fluctuations of the asset, the valuation of options is extended to the realistic case\cite{St99} of assets whose short-term returns have finite variance but very large, or even infinite, higher moments. A dynamic Delta-hedged portfolio that is statically insured against exceptionally large fluctuations includes at least two different options on the asset. The fair value of an option in this case is determined by a universal drift function that is common to all options on the asset. This drift is interpreted as the premium for an investment exposed to risk due to exceptionally large variations of the asset's price. It affects the option valuation like an effective cost-of-carry for the underlying in the Black-Scholes world would. The derived pricing formula for options in realistic markets is arbitrage free by construction. A simple model with constant drift qualitatively reproduces the often observed volatility -skew and -term structure.; Comment: 21 pages...

Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims and Its Numerical Simulations Under Uncertainty

Chen, Wei
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We study time consistent dynamic pricing mechanisms of European contingent claims under uncertainty by using G framework introduced by Peng ([24]). We consider a financial market consisting of a riskless asset and a risky stock with price process modelled by a geometric generalized G-Brownian motion, which features the drift uncertainty and volatility uncertainty of the stock price process. Using the techniques on G-framework we show that the risk premium of the asset is uncertain and distributed with maximum distribution. A time consistent G-expectation is defined by the viscosity solution of the G-heat equation. Using the time consistent G-expectation we define the G dynamic pricing mechanism for the claim. We prove that G dynamic pricing mechanism is the bid-ask Markovian dynamic pricing mechanism. The full nonlinear PDE is derived to describe the bid (resp. ask) price process of the claim. Monotone implicit characteristic finite difference schemes for the nonlinear PDE are given, nonlinear iterative schemes are constructed, and the simulations of the bid (resp. ask) prices of contingent claims under uncertainty are implemented.

Addressing the bias in Monte Carlo pricing of multi-asset options with multiple barriers through discrete sampling

Shevchenko, P. V.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 07/04/2009 Português
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An efficient conditioning technique, the so-called Brownian Bridge simulation, has previously been applied to eliminate pricing bias that arises in applications of the standard discrete-time Monte Carlo method to evaluate options written on the continuous-time extrema of an underlying asset. It is based on the simple and easy to implement analytic formulas for the distribution of one-dimensional Brownian Bridge extremes. This paper extends the technique to the valuation of multi-asset options with knock-out barriers imposed for all or some of the underlying assets. We derive formula for the unbiased option price estimator based on the joint distribution of the multi-dimensional Brownian Bridge dependent extrema. As analytic formulas are not available for the joint distribution in general, we develop upper and lower biased option price estimators based on the distribution of independent extrema and the Fr\'echet lower and upper bounds for the unknown distribution. All estimators are simple and easy to implement. They can always be used to bind the true value by a confidence interval. Numerical tests indicate that our biased estimators converge rapidly to the true option value as the number of time steps for the asset path simulation increases in comparison to the estimator based on the standard discrete-time method. The convergence rate depends on the correlation and barrier structures of the underlying assets.

Financial Models with Defaultable Num\'eraires

Fisher, Travis; Pulido, Sergio; Ruf, Johannes
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 13/11/2015 Português
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Financial models are studied where each asset may potentially lose value relative to any other. To this end, the paradigm of a pre-determined num\'eraire is abandoned in favour of a symmetrical point of view where all assets have equal priority. This approach yields novel versions of the Fundamental Theorems of Asset Pricing, which clarify and extend non-classical pricing formulas used in the financial community. Furthermore, conditioning on non-devaluation, each asset can serve as proper num\'eraire and a classical no-arbitrage condition can be formulated. It is shown when and how these local conditions can be aggregated to a global no-arbitrage condition.

Pricing timer options and variance derivatives with closed-form partial transform under the 3/2 model

Zheng, Wendong; Zeng, Pingping
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 30/04/2015 Português
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Most of the empirical studies on stochastic volatility dynamics favor the 3/2 specification over the square-root (CIR) process in the Heston model. In the context of option pricing, the 3/2 stochastic volatility model is reported to be able to capture the volatility skew evolution better than the Heston model. In this article, we make a thorough investigation on the analytic tractability of the 3/2 stochastic volatility model by proposing a closed-form formula for the partial transform of the triple joint transition density $(X,I,V)$ which stand for the log asset price, the quadratic variation (continuous realized variance) and the instantaneous variance, respectively. Two distinct formulations are provided for deriving the main result. The closed-form partial transform enables us to deduce a variety of marginal partial transforms and characteristic functions and plays a crucial role in pricing discretely sampled variance derivatives and exotic options that depend on both the asset price and quadratic variation. Various applications and numerical examples on pricing exotic derivatives with discrete monitoring feature are given to demonstrate the versatility of the partial transform under the 3/2 model.; Comment: 33 pages, 2 figures

Positive Eigenfunctions of Markovian Pricing Operators: Hansen-Scheinkman Factorization, Ross Recovery and Long-Term Pricing

Qin, Likuan; Linetsky, Vadim
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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This paper develops a spectral theory of Markovian asset pricing models where the underlying economic uncertainty follows a continuous-time Markov process X with a general state space (Borel right process (BRP)) and the stochastic discount factor (SDF) is a positive semimartingale multiplicative functional of X. A key result is the uniqueness theorem for a positive eigenfunction of the pricing operator such that X is recurrent under a new probability measure associated with this eigenfunction (recurrent eigenfunction). As economic applications, we prove uniqueness of the Hansen and Scheinkman (2009) factorization of the Markovian SDF corresponding to the recurrent eigenfunction, extend the Recovery Theorem of Ross (2015) from discrete time, finite state irreducible Markov chains to recurrent BRPs, and obtain the long maturity asymptotics of the pricing operator. When an asset pricing model is specified by given risk-neutral probabilities together with a short rate function of the Markovian state, we give sufficient conditions for existence of a recurrent eigenfunction and provide explicit examples in a number of important financial models, including affine and quadratic diffusion models and an affine model with jumps. These examples show that the recurrence assumption...

An Empirical Model for Volatility of Returns and Option Pricing

McCauley, Joseph L.; Gunaratne, Gemunu H.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 29/01/2002 Português
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In a seminal paper in 1973, Black and Scholes argued how expected distributions of stock prices can be used to price options. Their model assumed a directed random motion for the returns and consequently a lognormal distribution of asset prices after a finite time. We point out two problems with their formulation. First, we show that the option valuation is not uniquely determined; in particular, stratergies based on the delta-hedge and CAMP (Capital Asset Pricing Model) are shown to provide different valuations of an option. Second, asset returns are known not to be Gaussian distributed. Empirically, distributions of returns are seen to be much better approximated by an exponential distribution. This exponential distribution of asset prices can be used to develop a new pricing model for options that is shown to provide valuations that agree very well with those used by traders. We show how the Fokker-Planck formulation of fluctuations (i.e., the dynamics of the distribution) can be modified to provide an exponential distribution for returns. We also show how a singular volatility can be used to go smoothly from exponential to Gaussian returns and thereby illustrate why exponential returns cannot be reached perturbatively starting from Gaussian ones...

Multi-Asset Option Pricing with Exponential L\'evy Processes and the Mellin Transform

Manuge, D. J.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/09/2013 Português
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Exponential L\'evy processes have been used for modelling financial derivatives because of their ability to exhibit many empirical features of markets. Using their multidimensional analogue, a general analytic pricing formula is obtained, allowing for the direct valuation of multi-asset options on $n \in \z^+$ risky assets. By providing alternate expressions for multi-asset option payoffs, the general pricing formula can reduce to many popular cases, including American basket options which are considered herein. This work extends previous results of basket options to dimensions $n \geq 3$ and more generally, to payoff functions that satisfy Lipschitz continuity.; Comment: Material presented at AMMCS-2013

Pricing and Valuation under the Real-World Measure

Frahm, Gabriel
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the given information. A further problem is that asset prices are typically expressed in terms of a risk-neutral measure. This makes it difficult to transfer the fundamental results of financial mathematics to econometrics. I show that the aforementioned problems evaporate if the financial market is complete and sensitive. In this case, after an appropriate choice of the numeraire, the discounted price processes turn out to be uniformly integrable martingales under the real-world measure. This leads to a Law of One Price and a simple real-world valuation formula in a model-independent framework, where the number of assets as well as the lifetime of the market can be finite or infinite.; Comment: Previous versions of this paper have been distributed under the titles "Pricing in Complex and Efficient Financial Markets," "Absorbability of Financial Markets," "The Fundamental Theorem of Asset Pricing for Liquid Financial Markets," and "Asset Pricing and Valuation under the Real-World Probability Measure."

Pricing Using a Homogeneously Saturated Equation

Cassidy, Daniel T.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 24/01/2013 Português
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A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit that the saturation parameter of the equation equals zero, the standard model of geometric motion for the price of an asset is obtained. The homogeneously saturated equation for the price of an asset is similar to a simple equation for the output of a homogeneously broadened laser. The homogeneously saturated equation tends to limit the range of returns and thus seems to be realistic. Fits to linear returns obtained from the adjusted closing values for the S&P 500 index were used to obtain best-fit parameters for Student's t-distributions and for normal distributions, and these fits were used to price options, and to compare approaches to modelling prices. This work has value in understanding the pricing of assets and of European call options.

Levy Random Bridges and the Modelling of Financial Information

Hoyle, Edward; Hughston, Lane P.; Macrina, Andrea
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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The information-based asset-pricing framework of Brody, Hughston and Macrina (BHM) is extended to include a wider class of models for market information. In the BHM framework, each asset is associated with a collection of random cash flows. The price of the asset is the sum of the discounted conditional expectations of the cash flows. The conditional expectations are taken with respect to a filtration generated by a set of "information processes". The information processes carry imperfect information about the cash flows. To model the flow of information, we introduce in this paper a class of processes which we term Levy random bridges (LRBs). This class generalises the Brownian bridge and gamma bridge information processes considered by BHM. An LRB is defined over a finite time horizon. Conditioned on its terminal value, an LRB is identical in law to a Levy bridge. We consider in detail the case where the asset generates a single cash flow $X_T$ occurring at a fixed date $T$. The flow of market information about $X_T$ is modelled by an LRB terminating at the date $T$ with the property that the (random) terminal value of the LRB is equal to $X_T$. An explicit expression for the price process of such an asset is found by working out the discounted conditional expectation of $X_T$ with respect to the natural filtration of the LRB. The prices of European options on such an asset are calculated.

Essays in Financial Economics

Shaliastovich, Ivan
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação Formato: 1916023 bytes; application/pdf
Publicado em //2009 Português
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The central puzzles in financial economics commonly include

violations of the expectations hypotheses, predictability of excess returns, and the levels and volatilities of nominal bond yields, in addition to well-known equity premium and the risk-free rate puzzles.

Equally surprising is the recent evidence on large moves in asset prices, and the over-pricing of the out-of-the-money index put options relative to standard models. In this work, I argue that the long-run risks type model can successfully explain these features of financial markets. I present robust empirical evidence which supports the main economic channels in the model. Finally, I develop econometric methods to estimate and test the model, and find that it delivers plausible preference and model parameters and provides a good fit to the asset-price and macroeconomic data.

In the first chapter, which is co-authored with Ravi Bansal, we present a long-run risks based equilibrium model that can quantitatively explain the violations of expectations hypotheses and predictability of returns in bond and currency markets. The key ingredients of the model include a low-frequency predictable component in consumption, time-varying consumption volatility and investor's preferences for early resolution of uncertainty. In this model...