Barone-Adesi, Giovanni Sala, Carlo 2016-06-01 This thesis analyzes different theoretical and empirical aspects related to the use of the information in asset pricing. As a main innovation I extend the asset pricing literature proposing a new highly flexible technique for the estimation of the markets subjective distribution of future returns. Applying this technique to different problems I answer to some long-lasting puzzles present in literature. The contribution of this project to the literature is two-fold: first, in line with the new findings of Ross (2015) but from a fully different prospective I propose a new technique to estimate the market's subjective distribution of future returns using, jointly, stock and options data. Second, after studying the theoretical reason behind the superiority of the proposed technique, I use it for different empirical applications. application/pdf https://susi.usi.ch/global/documents/318534 https://localhost:5000/ark:/12658/srd1318534 https://susi.usi.ch/documents/318534/files/2016ECO003.pdf eng info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-115267 info:eu-repo/semantics/altIdentifier/ark/12658/srd1318534 info:eu-repo/semantics/openAccess License undefined Conditional physical measure Pricing kernel Option data Derivatives Market Efficiency Fundamental theorems of asset pricing Strict local martingale Nullsets Information premium Portfolio optimization problem Suboptimal filtration Optimal bounds info:eu-repo/classification/udc/33 Conditioning the information in asset pricing http://purl.org/coar/resource_type/c_db06