Asset pricing with heterogeneous agents and non-normal return distributions

Research output: ThesisDoctoral Thesis

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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 languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Tilburg University
Supervisors/Advisors
  • Jouini, E., Promotor, External person
  • de Roon, Frans, Promotor
  • Napp, C., Promotor, External person
Award date2 Sep 2021
Place of PublicationTilburg
Publisher
Print ISBNs978 90 5668 654 3
Publication statusPublished - 2021

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