Barone-Adesi, Giovanni Rasekhschaffe, Keywan Christian 2014-06-13 My dissertation consists of three main chapters; I focus on empirical aspects of asset pricing. I identify anomalies in equities, relate the book-to-market anomaly and the size anomaly to cash-flow risk, and document a strong cross-sectional predictor of FX volatility returns. In the first part of my dissertation I show that Gross Yield negatively predicts returns in the cross section of equities. In the second part of my dissertation I explore the role of cash-flow risk in driving book-to-market and size related returns. Furthermore, I show that equity returns increase with higher cashflow beta. In the third part I show that the ratio of implied to historical volatility explains the cross-section of FX variance swap returns. This ratio also predicts underlying currency returns. application/pdf https://localhost:5000/ark:/12658/srd1318630 https://susi.usi.ch/global/documents/318630 https://susi.usi.ch/documents/318630/files/2014ECO006.pdf eng info:eu-repo/semantics/altIdentifier/urn/urn:nbn:ch:rero-006-112882 info:eu-repo/semantics/altIdentifier/ark/12658/srd1318630 info:eu-repo/semantics/openAccess License undefined Asset pricing Anomalies FX volatility Variance risk premium Equities info:eu-repo/classification/udc/33 Essays in asset pricing http://purl.org/coar/resource_type/c_db06