Essays on Asset Pricing

Publikation: Bog/rapportPh.d.-afhandlingForskning

Resumé

The central formula in asset pricing relates the price of an Arrow-Debreu security to an investor's preferences and beliefs: Price of an Arrow-Debreu security = Preferences Beliefs. We observe the prices of Arrow-Debreu securities in the option markets. But we do not directly observe the extent to which these prices are driven by preferences or beliefs. Decomposing and investigating preferences and beliefs is essential for understanding asset prices, and it is therefore the focus of this thesis. In chapter one, my co-authors and I develop a model in which we can disentangle the contribution in asset prices which is driven by preferences and beliefs. In chapter two, my co-author and I estimate investor beliefs and study how these beliefs vary over time. In chapter three, I estimate investor preferences and study how they co-vary with investor beliefs.
The central formula in asset pricing relates the price of an Arrow-Debreu security to an investor's preferences and beliefs: Price of an Arrow-Debreu security = Preferences Beliefs. We observe the prices of Arrow-Debreu securities in the option markets. But we do not directly observe the extent to which these prices are driven by preferences or beliefs. Decomposing and investigating preferences and beliefs is essential for understanding asset prices, and it is therefore the focus of this thesis. In chapter one, my co-authors and I develop a model in which we can disentangle the contribution in asset prices which is driven by preferences and beliefs. In chapter two, my co-author and I estimate investor beliefs and study how these beliefs vary over time. In chapter three, I estimate investor preferences and study how they co-vary with investor beliefs.
SprogEngelsk
Udgivelses stedFrederiksberg
ForlagCopenhagen Business School [Phd]
Antal sider148
ISBN (Trykt)9788793744103
ISBN (Elektronisk)9788793744110
StatusUdgivet - 2018
NavnPhD Series
Nummer32.2018
ISSN0906-6934

Citer dette

Jensen, C. S. (2018). Essays on Asset Pricing. Frederiksberg: Copenhagen Business School [Phd]. PhD Series, Nr. 32.2018
Jensen, Christian Skov . / Essays on Asset Pricing. Frederiksberg : Copenhagen Business School [Phd], 2018. 148 s. (PhD Series; Nr. 32.2018).
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Jensen, CS 2018, Essays on Asset Pricing. PhD Series, nr. 32.2018, Copenhagen Business School [Phd], Frederiksberg.

Essays on Asset Pricing. / Jensen, Christian Skov .

Frederiksberg : Copenhagen Business School [Phd], 2018. 148 s.

Publikation: Bog/rapportPh.d.-afhandlingForskning

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Jensen CS. Essays on Asset Pricing. Frederiksberg: Copenhagen Business School [Phd], 2018. 148 s. (PhD Series; Nr. 32.2018).