Abstract
This thesis consists of three chapters and studies the consequences of releasing simplifying unrealistic assumptions often made in asset pricing models. Specifically, the first two chapters focus on agent heterogeneity and deal with models populated by a continuum of investors who agree to disagree. The first chapter highlights the impacts of correlated heterogeneities. In particular, there is some excess market volatility when the most optimistic agents are also the most patient ones. The second chapter considers a stationary model with non-vanishing belief heterogeneity and allows for an empirical test of the model-implied positive effect of belief dispersion on returns and volatility. Lastly, the third chapter is interested in the non-normality of asset return distributions. Defining and using the split bivariate normal distribution, it analyzes in a simple two-asset framework how skewness and its interaction with correlation affect portfolio choice, asset prices, and risk metrics
Original language | English |
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Qualification | Doctor of Philosophy |
Awarding Institution |
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Supervisors/Advisors |
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Award date | 2 Sept 2021 |
Place of Publication | Tilburg |
Publisher | |
Print ISBNs | 978 90 5668 654 3 |
Publication status | Published - 2021 |