<oai_dc:dc xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:oai_dc="http://www.openarchives.org/OAI/2.0/oai_dc/" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.openarchives.org/OAI/2.0/oai_dc/ http://www.openarchives.org/OAI/2.0/oai_dc.xsd">
  <dc:contributor>Trojani, Fabio</dc:contributor>
  <dc:creator>Piatti, Ilaria</dc:creator>
  <dc:date>2014-05-26</dc:date>
  <dc:description xmlns:ns0="xml" ns0:lang="en">My dissertation consists of three main chapters and focuses on two recent strands of research in asset pricing,  namely heterogeneous beliefs about rare event risk and present-value models for predictability of market returns and  dividend growth. The first chapter studies the asset pricing implications of investor disagreement about the probability  of a systemic disaster. I start from a structural economy with multiple assets and heterogeneous beliefs on systemic  rare event risk, in order to understand how fear and risk sharing mechanisms affect excess returns on equity and  pure variance positions and the relation between them, both at an aggregate level and in the cross section of stock  returns. The second chapter proposes a bootstrap methodology to test predictability hypotheses in the context of  present-value models with latent expectation processes for returns and dividends. We show that the test is  asymptotically valid and has good finite-sample properties while conventional tests strongly over-reject the null of no  predictability in small samples, due to restrictive distributional assumptions. The third chapter proposes a new class of  tractable present-value models with latent dividend and return processes and time-varying cash flow and discount  rate risks, to study the joint predictability features of dividends, returns and their second moments.</dc:description>
  <dc:format>application/pdf</dc:format>
  <dc:identifier>https://susi.usi.ch/global/documents/318592</dc:identifier>
  <dc:identifier>https://n2t.net/ark:/12658/srd1318592</dc:identifier>
  <dc:identifier>https://susi.usi.ch/documents/318592/files/2014ECO005.pdf</dc:identifier>
  <dc:language>eng</dc:language>
  <dc:relation>info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-112865</dc:relation>
  <dc:relation>info:eu-repo/semantics/altIdentifier/ark/12658/srd1318592</dc:relation>
  <dc:rights>info:eu-repo/semantics/openAccess</dc:rights>
  <dc:rights>License undefined</dc:rights>
  <dc:subject xmlns:ns1="xml" ns1:lang="en">Heterogeneous beliefs</dc:subject>
  <dc:subject xmlns:ns2="xml" ns2:lang="en">Systemic disasters</dc:subject>
  <dc:subject xmlns:ns3="xml" ns3:lang="en">Lucas orchard</dc:subject>
  <dc:subject xmlns:ns4="xml" ns4:lang="en">Variance risk premium</dc:subject>
  <dc:subject xmlns:ns5="xml" ns5:lang="en">Correlation risk premium</dc:subject>
  <dc:subject xmlns:ns6="xml" ns6:lang="en">Predictability</dc:subject>
  <dc:subject xmlns:ns7="xml" ns7:lang="en">Predictive regression</dc:subject>
  <dc:subject xmlns:ns8="xml" ns8:lang="en">Present-value model</dc:subject>
  <dc:subject xmlns:ns9="xml" ns9:lang="en">State-space model</dc:subject>
  <dc:subject xmlns:ns10="xml" ns10:lang="en">Bootstrap</dc:subject>
  <dc:subject xmlns:ns11="xml" ns11:lang="en">Likelihood ratio test</dc:subject>
  <dc:subject>info:eu-repo/classification/udc/33</dc:subject>
  <dc:title xmlns:ns12="xml" ns12:lang="en">Essays in asset pricing</dc:title>
  <dc:type>http://purl.org/coar/resource_type/c_db06</dc:type>
</oai_dc:dc>