Essays on Asset Pricing

Christian Skov Jensen

Research output: Book/ReportPh.D. thesisResearch

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Abstract

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.
Original languageEnglish
Place of PublicationFrederiksberg
PublisherCopenhagen Business School [Phd]
Number of pages148
ISBN (Print)9788793744103
ISBN (Electronic)9788793744110
Publication statusPublished - 2018
SeriesPhD series
Number32.2018
ISSN0906-6934

Cite this

Jensen, C. S. (2018). Essays on Asset Pricing. Frederiksberg: Copenhagen Business School [Phd]. PhD series, No. 32.2018