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A liquidez e os modelos de precificação de ativos: um estudo empírico no mercado acionário brasileiro de 1995 a 2011; Liquidity and asset pricing models: an empirical study on the Brazilian stock markets from 1995 to 2011

Mussa, Adriano
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 17/12/2012 Português
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O trabalho seminal de Amihud e Mendelson (1986) abriu caminho para uma grande quantidade de pesquisas no âmbito internacional sugerindo que a liquidez poderia ser um fator relevante na explicação dos retornos das ações. A premissa central é que ativos menos líquidos devem apresentar taxas de retornos superiores a dos ativos mais líquidos, por representarem mais riscos a seus detentores. Assim, o objetivo principal da presente tese consistiu em verificar se há prêmios pela liquidez no mercado acionário brasileiro com o uso de uma vasta quantidade de medidas de liquidez, formas de cálculo e períodos de retenção das carteiras, bem como se o modelo de precificação de ativos de 2-fatores de Liu (2006) - formado pelo beta de mercado e pelo fator liquidez - é válido para o mercado acionário brasileiro e, em caso positivo, se é superior ao CAPM, ao modelo dos 3-fatores de Fama e French (1993) e ao modelo dos 4-fatores de Carhart (1997), na explicação das variações dos retornos cross-section das carteiras de ações. Para isso, foram usadas todas as ações listadas na BM&FBOVESPA, de 1995 a 2011. Os procedimentos metodológicos para obtenção das variáveis e testes para verificação da existência de prêmios pela liquidez seguiram...

Mapas de precificação de ativos no mercado de capitais : uma análise do poder prescritivo da behavioral finance

Nunes, Bernardo Fonseca
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Dissertação Formato: application/pdf
Português
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O objetivo deste trabalho é analisar o poder prescritivo da Behavioral Finance (Shleifer, 2000) para a gestão de ativos financeiros no mercado de capitais, contrastando-a com as implicações da Hipótese dos Mercados Eficientes (FAMA, 1970). A meta específica é identificar quais conjuntos de técnicas são apropriados para a precificação de títulos ou ações levando-se em conta a interação dos respectivos modelos teóricos com a evidência empírica do comportamento dos investidores. A presente análise será feita através do mapeamento dos processos decisórios dos investidores segundo a Hipótese dos Mercados Eficientes (HME) e a Behavioral Finance (BF), identificando os pressupostos dos aludidos modelos e suas implicações e confrontando-os com a evidência obtida através de experimentos em laboratório que testem determinadas hipóteses sobre o comportamento de investidores. Discute-se a contribuição positiva de uma linha de pesquisa, a BF, que explora a racionalidade limitada dos agentes individuais em suas escolhas e os efeitos que os investidores experimentam ao tomarem decisões de investimentos. Metodologicamente, a BF absorve as conclusões sobre o mundo real obtidas a partir da observação experimental (DAVIS & HOLT...

Modelos de precificação de ativos e o efeito liquidez : evidências empíricas no mercado acionário brasileiro; Asset pricing model and the liquidity effect : empirical evidence in the brazilian stock market

Machado, Márcio André Veras; Medeiros, Otávio Ribeiro de
Fonte: Sociedade Brasileira de Finanças Publicador: Sociedade Brasileira de Finanças
Tipo: Artigo de Revista Científica
Português
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Este artigo teve por objetivo analisar se existe o prêmio de liquidez no mercado acionário brasileiro. Adicionalmente, buscou-se averiguar se a liquidez é precificada e se o retorno das acões era explicado n˜ao apenas pelo fator de risco sistemático, conforme prop˜oe o CAPM, pelos três fatores de Fama & French (1993) e pelo fator momento de Carhart (1997), mas também pela liquidez, conforme sugerido por Amihud & Mendelson (1986). Para isso, foram usadas cinco medidas de liquidez e optou-se pelo emprego de portfólios. Dentre os modelos de precificacção de ativos analisados, o CAPM mostrou-se o menos adequado na explicação dos retornos. Verificou-se que a inclus˜ao dos fatores tamanho e BM no CAPM, do fator momento no modelo de três fatores, e da liquidez no modelo de quatro fatores melhorou o poder explicativo das carteiras, evidenciando uma superioridade do modelo de cinco fatores em relação aos demais modelos de precificação de ativos. ____________________________________________________________________________ ABSTRACT; This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were explained not only by systematic risk...

Testes multivariados do capital asset pricing model com variabilidade dos prémios de risco ao longo do tempo : aplicação ao mercado accionista português

Miranda, Domingos Lopes de
Fonte: Universidade do Minho Publicador: Universidade do Minho
Tipo: Dissertação de Mestrado
Publicado em //1995 Português
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O objectivo desta investigação empírica consiste em examinar vários testes multivariados do Capital Asset Pricing Model (CAPM) Condicional desenvolvido por Ng (1989 e 1991), com diferentes representações do modelo Multivariate Simultaneous Generalized Autoregressive Conditional Heteroscedasticity In Mean (GARCH-M) e diferentes técnicas de construção de portfólios, baseadas no beta de mercado, na dimensão da empresa e no sector da actividade, para todas as empresas que mantiveram as suas acções listadas na Bolsa de Valores de Lisboa durante o período de Janeiro de 1988 a Agosto de 1995. Os testes multivariados do CAPM Condicional que permitem a variabilidade dos prémios de risco esperados ao longo do tempo e do risco, dado pela covariância condicional que assume um processo GARCH Multivariado, representada pelo operador VECH [Bollerslev, Engle e Wooldridge, 1988] ou pela representação BEKK [Engle e Kroner, 1995], incorporam a correlação Cross- Sectional contemporânea dos erros de previsão do prémio de risco e permitem a eficiência total com a estimação multivariada simultânea. Por outro lado, os testes são realizados com base nas variações temporais e nas variações Cross-Sectional dos prémios de risco esperados e risco das acções. Esta técnica aumenta o poder dos testes...

The capital-asset-pricing model and arbitrage pricing theory: A unification

Khan, M. Ali; Sun, Yeneng
Fonte: The National Academy of Sciences of the USA Publicador: The National Academy of Sciences of the USA
Tipo: Artigo de Revista Científica
Publicado em 15/04/1997 Português
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We present a model of a financial market in which naive diversification, based simply on portfolio size and obtained as a consequence of the law of large numbers, is distinguished from efficient diversification, based on mean-variance analysis. This distinction yields a valuation formula involving only the essential risk embodied in an asset’s return, where the overall risk can be decomposed into a systematic and an unsystematic part, as in the arbitrage pricing theory; and the systematic component further decomposed into an essential and an inessential part, as in the capital-asset-pricing model. The two theories are thus unified, and their individual asset-pricing formulas shown to be equivalent to the pervasive economic principle of no arbitrage. The factors in the model are endogenously chosen by a procedure analogous to the Karhunen–Loéve expansion of continuous time stochastic processes; it has an optimality property justifying the use of a relatively small number of them to describe the underlying correlational structures. Our idealized limit model is based on a continuum of assets indexed by a hyperfinite Loeb measure space, and it is asymptotically implementable in a setting with a large but finite number of assets. Because the difficulties in the formulation of the law of large numbers with a standard continuum of random variables are well known...

Entropy-Based Financial Asset Pricing

Ormos, Mihály; Zibriczky, Dávid
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 29/12/2014 Português
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We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return – entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behavior of the beta along with entropy.

Econometric Asset Pricing Modelling

Bertholon, H.; Monfort, A.; Pegoraro, F.
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Artigo de Revista Científica Formato: text/html
Português
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The purpose of this paper is to propose a general econometric approach to no-arbitrage asset pricing modelling based on three main ingredients: (i) the historical discrete-time dynamics of the factor representing the information, (ii) the stochastic discount factor (SDF), and (iii) the discrete-time risk-neutral (RN) factor dynamics. Retaining an exponential-affine specification of the SDF, its modelling is equivalent to the specification of the risk-sensitivity vector and of the short rate, if the latter is neither exogenous nor a known function of the factor. In this general framework, we distinguish three modelling strategies: the direct modelling, the RN constrained direct modelling, and the back modelling. In all the approaches, we study the internal consistency conditions (ICCs), implied by the absence of arbitrage opportunity assumption, and the identification problem. The general modelling strategies are applied to two important domains: security market models and term structure of interest rates models. In these contexts, we stress the usefulness (and we suggest the use) of the RN constrained direct modelling and of the back modelling approaches, both allowing us to conciliate a flexible (non-Car) historical dynamics and a Car (compound autoregressive) RN dynamics leading to explicit or quasi-explicit pricing formulas for various derivative products. Moreover...

Intertemporal Asset Pricing Without Consumption Data

Campbell, John
Fonte: American Economic Association Publicador: American Economic Association
Português
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This paper proposes a new way to generalize the insights of stark asset pricing theory to a multiperiod setting. The paper uses a loglinear approximation to the budget constraint to substitute out consumption from a standard intertemporal asset pricing model. In a homoscedastic lognormal setting, the consumption-wealth ratio is shown to depend on the elasticity of intertemporal substitution in consumption, while asset risk premia are determined by the coefficient of relative risk aversion. Risk premia are related to the covariances of asset returns with the market return and with news about the discounted value of all future market returns.; Economics

Risk Aversion, Intertemporal Substitution, and Option Pricing

GARCIA, René; RENAULT, Éric
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 2050193 bytes; application/pdf
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This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not preference-free, in other words, when preferences are not hidden in the stock and bond prices as they are in the standard Black and Scholes (BS) or Hull and White (HW) pricing formulas. The dependence of option prices on preference parameters comes from several instantaneous causality effects such as the so-called leverage effect. We also emphasize that the most standard asset pricing models (CAPM for the stock and BS or HW preference-free option pricing) are valid under the same stochastic setting (typically the absence of leverage effect), regardless of preference parameter values. Even though we propose a general non-preference-free option pricing formula, we always keep in mind that the BS formula is dominant both as a theoretical reference model and as a tool for practitioners. Another contribution of the paper is to characterize why the BS formula is such a benchmark. We show that, as soon as we are ready to accept a basic property of option prices, namely their homogeneity of degree one with respect to the pair formed by the underlying stock price and the strike price...

The Co-movement of Asset Returns and the Micro-Macro Focus of Prudential Oversight

Majnoni, Giovanni
Fonte: Banco Mundial Publicador: Banco Mundial
Português
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The integration of micro-prudential oversight with the macro-approach to financial stability -- long in the making -- raises several issues of coordination of regulatory responsibilities. This paper argues that a decomposition of the covariance of asset returns into an endogenous volatility component -- which can be reduced -- and an exogenous volatility component -- which we have to live with -- helps address these coordination issues and provides the basis for financial health diagnostics and supervisory responses to observed symptoms of financial instability. By linking risk origination and risk control, the paper may also contribute to the search for an operational definition of the term "macro-prudential."

Liquidity Shocks in Over-the-Counter Markets; Liquiditätsschocks in Over the Counter Märkten

Kudlik, Ingrid
Fonte: Universität Tübingen Publicador: Universität Tübingen
Tipo: Dissertação
Português
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This dissertation addresses liquidity and aggregate liquidity shocks in over-the-counter (OTC) markets. The topic was inspired by the pioneering work of Duffie, Gârleanu, and Pedersen (2005, 2007), who initiated a new strand of literature about asset pricing in OTC markets. This thesis completes the aggregate liquidity shock model of Duffie, Gârleanu, and Pedersen (2007), since it turned out to be imperfect. The thesis starts with an introduction into the basic search and bargaining model by Duffie et al. (2005) for asset pricing in an illiquid OTC market. Illiquidity is modeled with search frictions, which imply that trade does not happen instantly. Upon finding a trading partner, asset prices are directly bargained between those agents. This model forms the basis for the aggregate liquidity shock model by Duffie et al. (2007). Aggregate liquidity shocks are associated with a sudden shift in agents’ preferences towards asset holding, affecting a large fraction of investors simultaneously. Several investors experience a sudden decrease in their liquidity, leading to a forced withdrawal of assets: The market is hit by a selling pressure. This thesis presents an analytical solution method for the aggregate liquidity shock model of Duffie et al. (2007) and derives a semi-analytical solution for asset prices. Additionally...

Tropical Bubbles : Asset Prices in Latin America, 1980-2001

Herrera, Santiago; Perry, Guillermo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
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The authors test for the existence of asset price bubbles in Latin America in 1980-2001, focusing mainly on stock prices. Based on unit root and cointegration tests, they find that they cannot reject the hypothesis of bubbles. They arrive at the same conclusion using Froot and Obstfeld's intrinsic bubbles model. To examine empirical regularities of these bubble episodes in the region, the authors identify periods of significant stock price overvaluation. They quantify the relative importance of different factors that determine the probability of bubble occurrence, focusing on the contrast between the country-specific variables and the common external factors. They include as country-specific variables both the level and the volatility of domestic credit growth, the volatility of asset returns, the capital flows to each country, and the terms of trade. As common external variables, they consider the degree of asset overvaluation in the U.S. stock and real estate markets and the term spread of U.S. Treasury securities. To quantitatively assess the relative importance of each factor...

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda
Fonte: Université de Montréal Publicador: Université de Montréal
Tipo: Artigo de Revista Científica Formato: 400691 bytes; application/pdf
Português
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In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the frame-work of multivariate linear regressions (MLR). It is well known however that despite their simple statistical structure, standard asymptotically justified MLR-based tests are unreliable. In financial econometrics, exact tests have been proposed for a few specific hypotheses [Jobson and Korkie (Journal of Financial Economics, 1982), MacKinlay (Journal of Financial Economics, 1987), Gib-bons, Ross and Shanken (Econometrica, 1989), Zhou (Journal of Finance 1993)], most of which depend on normality. For the gaussian model, our tests correspond to Gibbons, Ross and Shanken’s mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for multivariate Student-t and gaussian mixture errors. Our framework allows to cast more evidence on whether the normality assumption is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for multivariate GARCH and mul-tivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a set estimate for the intervening nuisance parameters. Our results [over five-year subperiods] show the following: (i) multivariate normality is rejected in most subperiods...

Continuous Equilibrium in Affine and Information-Based Capital Asset Pricing Models

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; Mainberger, Christoph
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
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We consider a class of generalized capital asset pricing models in continuous time with a finite number of agents and tradable securities. The securities may not be sufficient to span all sources of uncertainty. If the agents have exponential utility functions and the individual endowments are spanned by the securities, an equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information-based asset pricing are used to model the endogenous asset price dynamics and the terminal payoff. The derived semi-explicit pricing formulae are applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of simultaneously-traded European-style options.; Comment: 24 pages, 4 figures

A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information

Kato, Takashi; Sekine, Jun; Yamamoto, Hiromitsu
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 17/06/2014 Português
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A one-factor asset pricing model with an Ornstein--Uhlenbeck process as its state variable is studied under partial information: the mean-reverting level and the mean-reverting speed parameters are modeled as hidden/unobservable stochastic variables. No-arbitrage pricing formulas for derivative securities written on a liquid asset and exponential utility indifference pricing formulas for derivative securities written on an illiquid asset are presented. Moreover, a conditionally linear filtering result is introduced to compute the pricing/hedging formulas and the Bayesian estimators of the hidden variables.; Comment: 21 pages

Filtering returns for unspecified biases in priors when testing asset pricing theory

Bossaerts, Peter
Fonte: Instituto de Tecnologia da Califórnia Publicador: Instituto de Tecnologia da Califórnia
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em /01/2004 Português
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Procedures are presented that allow the empiricist to estimate and test asset pricing models on limited-liability securities without the assumption that the historical payoff distribution provides a consistent estimate of the market's prior beliefs. The procedures effectively filter return data for unspecified historical biases in the market's priors. They do not involve explicit estimation of the market's priors, and hence, economize on parameters. The procedures derive from a new but simple property of Bayesian learning, namely: if the correct likelihood is used, the inverse posterior at the true parameter value forms a martingale process relative to the learner's information filtration augmented with the true parameter value. Application of this central result to tests of asset pricing models requires a deliberate selection bias. Hence, as a by-product, the article establishes that biased samples contain information with which to falsify an asset pricing model or estimate its parameters. These include samples subject to, e.g. survivorship bias or Peso problems.

Basic Principles of Asset Pricing Theory: Evidence from Large-scale Experimental Financial Markets

Bossaerts, Peter; Plott, Charles
Fonte: Oxford University Press Publicador: Oxford University Press
Tipo: Article; PeerReviewed Formato: application/pdf
Publicado em //2004 Português
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We report on two sets of large-scale financial markets experiments that were designed to test the central proposition of modern asset pricing theory, namely, that risk premia are solely determined by covariance with aggregate risk. We analyze the pricing within the framework suggested by two theoretical models, namely, the (general) Arrow and Debreu's complete-markets model, and the (more specific) Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). Completeness of the asset payoff structure justifies the former; the small (albeit non-negligible) risks justifies the latter. We observe swift convergence towards price patterns predicted in the Arrow and Debreu and CAPM models. This observation is significant, because subjects always lack the information to deliberately set asset prices using either model. In the first set of experiments, however, equilibration is not always robust, with markets temporarily veering away. We conjecture that this reflects our failure to control subject' beliefs about the temporal independence of the payouts. Confirming this conjecture, the anomaly disappears in a second set of experiments, where states were drawn without replacement. We formally test whether CAPM and Arrow–Debreu equilibrium can be used to predict price movements in our experiments and confirm the hypothesis. When multiplying the subject payout tenfold (in real terms)...

Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates

McElroy, Marjorie; Burmeister, Edwin
Fonte: Journal of Business & Economic Statistics Publicador: Journal of Business & Economic Statistics
Tipo: Artigo de Revista Científica Formato: 376508 bytes; application/pdf
Publicado em //1988 Português
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By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. An explicit theoretical justification for the inclusion of an arbitrary, well-diversified market index is given. Using monthly returns on 70 stocks, iterated nonlinear seemingly unrelated regression techniques are employed to obtain joint estimates of asset sensitivities and their associated APT risk “prices.” Without the assumption of normally distributed errors, these estimators are strongly consistent and asymptotically normal. With the additional assumption of normal errors, they are also full-information maximum likelihood estimators. Classical asymptotic nonlinear nested hypothesis tests are supportive of the APT with measured macroeconomic factors.

Essays on Exchange Rate Risk

Rafferty, Barry John
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Dissertação
Publicado em //2012 Português
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This dissertation is a collection of papers with the unifying objective being to better understand crash risk in foreign exchange markets. I investigate how exposure to the risk of currency crashes is able to provide a unified rationalization of the returns of various sorted currency portfolios.

In the first chapter, I identify an aggregate global currency skewness risk factor, which I denote SKEW. Currency portfolios that have higher average excess returns covary more positively with this risk factor. They suffer losses in times when high interest rate investment currencies have a greater tendency to depreciate sharply as a group relative to low interest rate funding currencies. Consequently, they earn higher average excess returns as reward for exposure to this risk. I create three sets of sorted currency portfolios reflecting three distinct sources of variation in average excess currency returns. The first set sorts currencies based on interest rate differentials. The second set sorts currencies based on currency momentum. The third set sorts currencies based on currency undervaluedness relative to purchasing power power parity (PPP) implied exchange rates. I find that differences in exposure to the global currency skewness risk factor can explain the systematic variation in average excess currency returns within all three groups of portfolios much better than existing foreign exchange risk factors in the literature.

In the second chapter...

Continuous-time stochastic analysis of optimal experimentation and of derivative asset pricing.

Rady, Sven
Fonte: London School of Economics and Political Science Thesis Publicador: London School of Economics and Political Science Thesis
Tipo: Thesis; NonPeerReviewed Formato: application/pdf
Publicado em //1995 Português
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This thesis applies continuous-time stochastic techniques to problems in economics of information and financial economics. The first part of the thesis uses non-linear filtering and stochastic control theory to study a continuous-time model of optimal experimentation by a monopolist who faces an unknown demand curve subject to random changes. It is shown that different probabilities of a demand curve switch can lead to qualitatively very different optimal behaviour. Moreover, the dependence of the optimal policy on these switching probabilities is discontinuous. This suggests that a market or an economy embedded in a changing environment may alter its behaviour dramatically if the volatility of the environment passes a critical threshold. The second part of the thesis studies continuous-time models of derivative asset pricing. First, a review of the so-called direct approach to debt option pricing emphasises the principal modeling problems of this approach and highlights the shortcomings of certain models proposed in the literature. Next, the connection between martingale measures and numeraire portfolios is exploited in problems of option pricing with strict upper and lower bounds on the underlying financial variable. This leads to a new decomposition of option prices in terms of exercise probabilities calculated under particular martingale measures and allows a simple proof of certain generalisations of the Black-Scholes option price formula. Finally...