Asset pricing dissertation

A little about the essay
Giovannetti, Bruno Cara. This dissertation contributes to the recent and diverse literature on the relation between downside risk and asset prices. In chapter one, we use a famous quote among professional investors, "focus on the downside, and the upside will take care of itself", to motivate a representative consumer-investor who only cares about the downside. The consumption-based asset pricing model that emerges from this idea explains the main existing puzzles found within the asset pricing literature. These include the equity premium and the risk-free rate puzzles, the countercyclicality of the equity premium and the procyclicality of the risk-free rate. The model is parsimonious, requiring only three preference-related parameters: the time discount factor, the elasticity of intertemporal substitution, and the downside risk aversion.
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Tomunen, Tuomas. How are the prices of financial assets determined? In this dissertation, I test various theories empirically, focusing on several classes of bonds. In the first chapter, I test whether asset prices reflect the risk-exposures of financial intermediaries in a setting that is well suited to tackling concerns about omitted risk factors. Assuming that natural disasters are independent of aggregate wealth, this pricing result is inconsistent with any explanation based on macroeconomic risk factors.
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Essays on asset pricing

Essays on robust asset pricing. N2 - The central concept of this doctoral dissertation is robustness. I analyze how model and parameter uncertainty affect financial decisions of investors and fund managers, and what their equilibrium consequences are. Chapter 1 gives an overview of the most important concepts and methodologies used in the robust asset allocation and robust asset pricing literature, and it also reviews the most recent advances thereof. Chapter 2 provides a resolution to the bond premium puzzle by featuring robust investors, and — as a technical contribution — it develops a novel technique to solve robust dynamic asset allocation problems: the robust version of the martingale method.
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Lingxiao Zhao , Washington University in St. Louis Follow. In my dissertation, I focus on theoretical and empirical asset pricing from a Bayesian model comparison perspective.

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