This thesis consists of three chapters. The first chapter analyzes efficiency gains in the estimation of expected returns based on asset pricing models and examines the economic implications of such gains in portfolio allocation exercises. The second chapter provides nonparametric efficiency bounds in the estimation of integrated smooth transformations of volatility and related processes, and analyzes the efficiency of existing estimators. The third chapter investigates pricing implications of monetary policy risk in the cross—section of stocks.
|Qualification||Doctor of Philosophy|
|Award date||17 Dec 2015|
|Place of Publication||Tilburg|
|Publication status||Published - 2015|